It was a fair request, and one that Nathan was expecting. He lowered his gun, slowly, and put it back into his holster. She hadn't asked him to surrender it or put it on the ground, so he didn't. He put his hands back out in front of him in a peaceful gesture.
"I didn't steal the car," he said. She'd probably guessed that much. What possible motive would he have to take it? He had a car of his own, a perfectly good one, and had never wanted to give it up - even for a police-issue patrol car.
The next part was harder to explain, and he still hesitated before coming out with it, even though it was something that, on some level, he'd wanted to say for months. The relief he'd felt a moment ago was gone, and he was really concerned that he wasn't going to get a chance to explain in full. If he was going to have to confess to what he'd done, at the very least he wanted to try to take Gold down with him. "I was going to leave it here to be found in the morning. I - look, I know this looks bad, and I'm not going to pretend it doesn't. Whatever you want to do when I'm done talking, I'll go along with it. I just really, really need you to hear me out first."