She wasn't entirely wrong in her own interpretation. It was just that he couldn't let his stoic reputation go to such a waste by admitting as such. He could just be practical and still watch over everyone!

"You're not slowing anyone down, Madoka." Said firmly as if it were a genuine statement of fact. She was trying her best, and these days that was enough to satisfy Piccolo. (Or maybe it was just that way for Madoka. She was a special case.) "If anything, you help keep everyone going."