He can't tell if Shinobu is disappearing with him, but he definitely feels himself fading. Her words are helping, even if he's not sure if he agrees with her sentiment or not. Amplifying that underlying notion of helplessness is Not Welcome in most cases, but in a dream like this were he's already in the process of fading? Not much he can do there.

What'll happen to Shinobu once he's gone? She'll probably wake up, too, he imagines.

"I know what you're trying to do."

It's not that he's ungrateful, but he doesn't like rolling over without a fight. It's just something coded into his DNA, and even letting a dream version of himself succumb to it is too unlikely.

"Fade or not...not knowing the point isn't the problem. It's knowing the point and feeling powerless to fight it."

And she'll soon feel his presence one moment and then absolutely nothing the next.