Tali has more than a small inkling about how he actually feels, especially with how he's acting at the moment -- and that's the reason that she doesn't actually protest to his statement, and instead just moves forward to rest a hand on his shoulder briefly.

"Just keep in mind you can talk to me about things, all right? I'm not going to tell the world about it." There was a difference between telling someone Megamind's name and revealing his deep personal secrets.