Yondu probably would take care of himself. He's still not so moral that, if approached threateningly, he wouldn't put his arrow up in someone's face at the very least. But the joke does make him feel a little better, actually makes him smile some when he looks over at Soldat.

"Boring as shit up to the end fight. Ya did? ...Yeah, it weren't nothin' even helpful, I reckon. Just found some shit in the catacombs."