Of course he's going to be concerned: she's his friend, and things aren't right for her and he wants to see it made better. He can't help it: it's the way he's wired.

"I can't think of any better way to spend my day, actually. I've missed you." It's time to tell her, and he knows it. "Last time we talked, we agreed to leave together if you ever could see the door. There are two problems with that, though. The first is that you can't see the door, so you can't go... and I'm not going without you."

Pausing, he takes a deep, deep breath. "The second thing is... remember how I told you not all the people here are alive?"

There might be a little change to his expression there, although he tries hard to keep looking neutral, even as he realizes he'd better reassure her as quickly as possible here. "I'm not talking about you, just so you know."

That statement's as good as an admission all by itself.

Please don't be afraid of me for being dead. That's his biggest fear right now, and he doesn't fear very much.