It's a warning that alerts her to the fact she's going to need to really listen, to really try; she doesn't notice herself bracing to be hurt in turn, especially since it happens so often and so casually in her experience.

So she waits a few beats to see if he's going to continue, but when he doesn't, she shakes her head again. "I don't understand." She knows they're close, that it goes both ways, so it's not as surprising as it could be that apparently he's willing to label her family; she'll address that in a moment, or maybe just keep it with her in silence. One hard thing at a time.