The words don't mean a damn thing: she knows him well enough to know it's a lie. One he believes, true, but a lie nonetheless. Harry only gives a damn about Harry (What he wants being a subcategory of that, with her name set firmly on the top of the list.) which means he'd really have done anything for himself.

A point he's proving with his arm wound tightly around her.

"Hardly the place for it, mate; you'll get us both killed."