Well that wasn't what she expected to hear. And Sigyn wanted to yell at him, she really did. She was insane? SHE was insane? He was the one that was apparently making assignations with some of Frigg's handmaidens, but was shocked enough to find somebody in his bed that he screamed. Like a girl.
And she wasn't going to address at all how much it hurt that he seemed so disappointed that it was her. Or that he might have been with some other woman. He wasn't hers... yet.
Despite her desire to throw something at his head, for various reasons, Sigyn reminded herself that the reason she revealed herself was because he seemed upset. Just because she startled him didn't change that. So she didn't answer any of that at all. Instead, she said quietly, "It doesn't matter now. What matters is that you seemed upset. What's wrong?"