He knew what HYDRA was, he knew what they represented and who they served. "No," he said gently. "No, no, no. They didn't make me."
To an extent, perhaps they did. The Nazis had been responsible for not only causing his powers to manifest, but for training and honing his abilities. If Erik had had the choice as a child as to whether he wanted to go through it, of course he would have refused, but then again Erik would have then been dead. HYDRA didn't exist to him, but the Nazis were largely responsible for making him. Yes.
But his powers didn't come from them, and the fact that Wanda seem to think they did was exceedingly troublesome. He felt a surge of protectiveness as if she was his own: they'd laid hands on his daughter.
He'd never seen this girl in his life, but he already felt like he'd break anyone who harmed her.
"My powers come from here," he said, reaching out and lightly touching the center of Wanda's chest. "And so do yours. They may have awakened them for you but they cannot make you." Could they?