It's pretty much the reaction Yu expected, but his eyes widen a little at Yosuke's comment about losing him. He'd been so caught up in wanting to reason with someone he thought was a good friend that he hadn't even considered the possibility of something happening to him, let alone how that would effect the people close to him.
"You didn't lose me," he offers in an attempt to make Yosuke feel better, but then he shakes his head. That wasn't the point, Yosuke was right. "It was stupid and reckless. I know that now. I just... I thought maybe since we were friends I could talk some sense into him. Get him to confess."
Yu sighs, stuffing his hands into his pockets. "But it didn't work out that way. He... I burned the only evidence we had against him. He said I'm his accomplice now. And he didn't threaten Nanako directly, but I'm sure he wouldn't hesitate to go after her if I went against him."
Yu's voice gets shakier the more he explains, and by the end of it the tears he'd been trying so hard to hold back are rolling down his cheeks. "I'm so sorry, Yosuke. I know I messed up... I don't know what to do anymore."