She was breaking his heart. She had nearly been killed and she was worrying about him thinking she would disobey? She was the most wonderful mortal he knew whom he hadn't participated in the creation of.
"Of course I know you wouldn't. Luna, this is important. Listen to me. I know us Gods can...forget sometimes...what it's like. If you're ever scared please, tell us. It's not disobeying to make sure you're safe."