The idea of even caring that Will had slept with his friend who had now been kidnapped didn't even occur to Luna. She and her twin cursed by Lucifer before they were born? Taken by Lucifer and even all the saints and angels couldn't help?
(And what if it was you and Ares? a small voice asked. Would someone come find you if Ares took you somewhere dark and cold?)
Luna had no idea what to say in response to such a horrible thing, but knew she had to say something. So she said what all people say in such situations: "I'm so sorry, Will."