"Well, I wasn't going to blackmail you with it, if that's what you mean." No one outside of themselves knew of the existence of these gods. And he didn't foresee ever needing an opportunity to blackmail her.
"Nonetheless I'm pretty sure that kind of information will come in handy at some point. At a bare minimum, if the next mortal whom I chance upon in a club whom I want to fuck against the wall tells me she's a light masochist, I know what to do."