[He's not even going to protest further because who cares, right. It'll hardly be the first time Ciel has to deal with people assuming they have a caring relationship; he won't faint from inappropriateness overload.]
Thank you for having such concern for my feelings. [Or for... steamrolling over them. Either way. And, much more importantly:]
I'm grateful that you would give such thought to what relationships are in the young master's life.