It is kind of funny in hindsight, so Malcolm doesn't blame her for laughing. He was pretty pissed at the time though. If a serial killer is dead, they can't help add to what is known about serial killers in order to help catch others in the future.

"Um. I tend to put myself in situations." He gives a sheepish laugh. "Dangerous situations sometimes. I don't always call for backup."

He's a liability. They got tired of that.