Marcellus noted as the guards departed. There were only two left, and a bit a ways away. If he had brought his knife, he could have killed her now and had a decent chance of escaping. But he hadn't, and he expected trying to snap her neck would end badly for him. So he didn't try anything.
Instead, he just held her tight as she cried in his shoulder, the tears joining with the rain to go crashing down on the ground. He just let her cry for a bit, to get out what she needed to. Gretchen had been very important to her, and her death was very shaking. at least this would get him credit with her, to increase her trust in him, he supposed.
He talked to her as she cried. "It's alright, just let it out. There's a time for being strong and a time for grieving, and I will not judge. Despite the appearances you put up or everyone, you are still human like the rest of us. I'm here for you if or when you need someone to talk to, now and in the days to come. I know the feeling, I know what it's like, so don't be afraid."