They'd only just met, and already he could tell that she was going to be a dangerous one- although hopefully in a much less literal way than those there had been before her. What did it matter, anyway? It was clearly a one-time thing, her post wasn't exactly ambiguous.
His eyes widened ever-so-slightly when she deduced his military ties, and his surprise continued as she so casually alluded to his weapon. She was quite something.
"You're quite right, yes. Navy," he explained, glad that it would act as an explanation for a lot of his behaviour, not to mention his rather suspicious bullet scar, without the need for much elaboration. And it wasn't even a lie, for once, just a downplaying of the full facts. He smiled, and removed the gun, placing it down where she indicated, glad that he didn't seem required to offer an explanation for it. That made things much easier.