He was patently confused by hearing Malgus effectively speaking a philosophy that was very similar to his own, albeit for him 'as long as one survived, hope remains' was not a warning.

A baffled look for a moment and then: "I'll be happy to tell you anything I know, but I've no idea what that might be. As I said, so far as I know there are two. Sidious and Vader. Sidious rules the Empire."

Ask him questions, then.