He'd known she was going to ask that. He would have mentioned it soon enough if she hadn't. Whether she believed him or not, she was going to get the truth - all of it. She had already started to write him off, prepared to dismiss whatever bullshit he gave in his defense, and he couldn't blame her for that, although it was disheartening nonetheless.
Nathan just had to trust that she was as good a cop as he thought she was, that she would know instinctively that he was telling the truth, and that she'd be able to do something about it - about Gold. Even if Nathan served time, too, he'd be content with that if Gold finally got what was coming to him.
He didn't wait for her to prompt him any further before adding, "I've been covering for Gold's son."