"What could I possibly be in danger from?"

Besides, of course, his father. He may be a little short sighted on that. He is definitely trying to process the tender touch, the fact that Zerxus is having nightmares about losing him -

and the voice of said father in his head.

Of course not, but why? He's not questioning the reasoning, he's trying to work out what in the name of all the hells this is happening and why it would matter. He'd also really like to know what's got Asmodeus' attention. He isn't hopeful on any of those answers being provided.