Arya nodded, "Apparently he met father in the dreams when he came to the blacksmith shop he was an apprentice in." If she'd said that Ned had sought Gendry out then that would have seemed a little more suspicious and it wasn't Arya's place to tell Sansa the reason their father had gone looking for Gendry in the dreams.
If she was honest, Arya was relieved that Sansa wasn't mad, "I know. We just wanted to keep it a secret for a little while." She gave her sister a small smile, "Yeah, I'm kind of glad that it wasn't." It would have been obvious by the look on Arya's face as she spoke that she really cared about Gendry a lot.