He's glad that she doesn't go with that impulse — here and now at least. Maybe some other time, when there's more people to get lost in, a more appropriate atmosphere. With just the two of them it'd get awkward really quickly. Catch him at the right time though and he could probably loosen up and indulge her.
"I can imagine. I, uhm... I kind of missed out on all that. I was too young to get into clubs when I was in college." Not that anyone would've asked him out. "I joined the FBI at 22 and we're not as rowdy as college kids."