Heimdall relaxed a bit with Athena so close to him. He still felt bad about it, but realised there wasn't really anything he could do about things as they stood now.
Athena secretly wondered whether or not she should tell Heimdall about her low survival rate from the shadows; would it hurt him more now, or would it hurt him more if he knew she was keeping it from him?
Well, she did, but that dodn't mean she wasn't scared. But she hid it from everyone, afraid to show any weakness; she felt she had to be strong for everyone else, especially Heimdall.