What is he supposed to do? You're clearly upset, considering that you have a massive gash on your thigh it makes sense. However, Megumi didn't know what to do, he treated your injury and was waiting for Gojo to come get you two.

"Stop crying" he wanted to be soothing, but the irritated expression on his face didn't help

His shinigami dogs, Kuro and Shiro were still summoned, so an idea formed in his head.

"If you stop crying I'll let you pet them" Megumi grumbled letting the dogs comfort you