Lust frowned in worry and put her arms around him, cradling him to her, "Greed... it was a bad dream. You're okay. You're with me." she rubbed his back like he was a little boy. "I'm right here." if he was reaching for anyone it was Lust and she wanted to remind him well she was with him and it was okay. They were together again so everything else would be fixable.
It was troubling though.. because Greed and her really didn't fear anything but his scream suggested otherwise.