She frowns slightly at his reaction, but the real reaction to his words doesn't come until the 'we found him'. There's quite a bit to unpack, here. First off, the fact what he's saying doesn't match to what she's seeing. Second, his disappointment at what she'd said. It clearly wasn't what he wanted or expected to hear. Third, and probably most important?

"Where was he?" Because there's only one person Steve could be talking about. The ghost Natasha Romanoff grew up hearing whispers about.

It's the only thing they're talking about that makes sense to her. So that's what she chooses to focus on.