The saddest thing about Rorschach's behavior was that it was always, in his own mind, completely justified. He lived his whole life on a precipice, believing that there was a steep drop below him while it might have only been a few feet. In other words, he saw danger where there wasn't, which meant that he often created it.
"Hot water heater. For showers," he repeated, pondering for a moment before releasing Kaylee's arms. "Am night watchmen. Name is Rorschach. Purpose to serve, protect. Will prove it to me? That it is not a weapon for destruction of lives?" Though it was impossible to see Rorschach's face under his shifting mask, his gruff voice contained a slight querying intonation.