Easier to handle, and she hadn't wanted to get caught... Kyoko says she was 'rescued', that really just makes the situation sound all the more worse.

His brow creases and his frown deepens, completely unable to take any of what she's saying as 'not a big deal' in the least. Especially with the encroaching feeling of, hey, maybe he can piece together who these memories might belong to. Would it really be so strange for them to just end up having swapped some memories, one-for-one? Oh, no...

"I'm... glad you're okay," truly, but even then, "but it sounds like it was going to be a really dangerous situation, when you put it like that."