Athena wrapped her arms around Heimdall and pulled him close, burriyng her face in his shoulder. She was shaking, and trying not to cry; she dind't want to lose this, it was all too soon to the day she would. In fact, the main reason she'd spent her life being so cold was because she'd wanted to avoid this sort of thing. Well, obviously, that plan had failed.
She wished she could tell him, but she didn't want to tear him apart; he needed to stay strong for the twins. So she just laid there in his arms, snifling and shaking, until she fell asleep.