Gordon might have figured out Bruce Wayne was Batman eventually, but he couldn't have known when he said "You ever have anyone walk out on you?" Gordon was angry, but he wouldn't be a dick about it. Besides, Bruce knows it's not like his parents *wanted* and *chose* to leave him, so it really *isn't* the same thing.
Isn't that sequence from very shortly after Bruce debuted as Batman? If so, then it's too early for Gordon to have figured it out. I have no doubt that he put it together very quickly, but this is quite literally too soon for that.