He wasn't actually scared. It's more the embarassment of being a prisoner and the fact that Link's determined reassurance reminded him of Gladio, his own Shield; which brought about the knee-jerk reaction.

Sorry Link.

Though the teasing triggers another and he can't help but get defensive.

"It provided a good distraction..."

Noctis clears his throat.

"Anyway, yeah, we'll bust the rest out too. No one should be treated like that."