Oh she was playing hide-and-seek, the only thing was she hid in his bedroom, figuring he'd go running off somewhere else. Maybe the room that she stayed in on the nights she hadn't fallen asleep on the couch (which she was highly prone to do), or just one of his many other rooms. Dalton did live in a mansion after all.
Anyway...so she was hiding in his room, back in his closet actually, leaning against a free space of the wall. When he questioned the empty room she had to refrain from laughing. If she was hiding in there why would she answer him?