Castiel recognized the change in tone of Cole's voice and he immediately felt the remorse wash over him. It wasn't his intention to bring up a painful memory for him. Especially when Cas himself understood. He'd never...been quite as intimate with Anna. He doubted he would ever have had the capacity to do so, but his time on Earth had helped him realize that perhaps he'd felt more for her than he had any other angel. He didn't believe that she would have accepted him, but now he wished that perhaps he'd had the capacity to be more honest with her.
"My apologies," he said somberly, casting his eyes downward. "At least...she knew. Or at least I presume she did. If you like, I could perhaps try and search Heaven for her soul. To ensure her safety."
It was a small lie. Cas personally couldn't return to Heaven in this place regardless of how badly he wanted to, but Cole didn't need to know that. Clearly he was distressed. And while Cas disliked being deceitful, this was a situation where it could help someone.