Ah, so she's correct in assuming that he listened in on her conversation. Not that she minds - in all honesty, she had suspected he would listen in, anyway. That's not what bothers her. Mostly, it's the fact that Hellboy is even more bothered about it than she is. (Although she was far less amused when it actually happened.)

"You shouldn't get mad about it. So some assholes thought it would be fun to try and get in bed with the Burn Lady and have her leave a mark. Big deal. It was a shitty feeling at the time, but at least it was a sign for me to dump the creeps before I did anything I'd regret later."