[He's keenly aware that he's being used as a meat shield, but there's nothing he can really do about it. Asking the civilian to walk in front would really give her ammunition!]

Don't be nonsensical, now! I'd never do that. It's just, if it disappeared into thin air, then we don't really have any leads, do we?

[Actually--]

Since you're such a big fan of them: if you were a big-ass ghost, where would you go?