She just gives him a confused expression, not fully understanding it but deciding to leave it alone.

That is, until all of a sudden, he started crying and she leaves the cookie in favor of moving towards him in order to not only wipe his tears away but to also try and hide them with her wings.

"You... died?" How does one really respond to that. "... Then, stay here and live. Live in the way that your Athena wishes for you to live. Smile, for you are alive now and have honored her."