He doesn't explode. He's a bit too taken aback to explode. He just turns his head a bit, so he's looking at her side-on, looking more incongruous than anything.

The idea is so alien, he has no idea how to respond to it.

'...why would I need you to?'

He's Gene Hunt. He doesn't need anyone to take care of him, let alone a bird. OK, so there has been the occasional time when one of his team have got him out of a scrape, and vice versa. But they're coppers. She's a civvie, and a lady at that.