User blog comment:IamJakuhoRaikoben/Chapter 390: The Story of a Boy, Review./@comment-24066070-20140627101308/@comment-24066070-20140627105100

I doubt he would be grateful to Natsu, since he didn't do much to thaw him out. He should be grateful to Lyon, but the "I long to kill Ur and all her disciples" comment undermines that possibility as well.

He showed an angry face when he said "Natsu of all people" or at least it was disdain. So perhaps it was the opposite, that he feared Natsu would protect/help Gray.