At this point, Kell is already trained well enough to recognize the danger from Lucifer's tone alone. He doesn't need his words to reflect that, even if they do.

"They indeed do. I mean, we do lack in the hats department, but I believe that's more of a cultural thing."

He turns the whole thing into a joke in the end. Just in case anyone listened. But he's grateful for the warning. They are still on the castle grounds. You can never be sure who can be listening, even on accident, so it's better to be careful. Kell catches himself sliding into carelessness if he's comfortable with the company. Way too honest for his own good. And Lucifer is one of the few, four to be precise, people he feels safe with to talk openly.