Her smile widens because there's something endearing in seeing him get a little bit flustered. And she thinks it's perfectly alright letting him live in the illusion. Not certain that it even is an illusion, for that matter.

Shepard relaxes, drops her arms and moves deeper into the room. "Thanks, but, I don't think I'd make it five steps out of here. Not without starting up some rumors we... well, I guess they wouldn't be the worst rumors I've heard yet," she winks at him. "It would almost be worth it just to see the heart attack it would give the woman who comes up with all this." She gestures to herself.