"I appreciate the sentiment. It's very sweet. But I'll be fine on my own." She doesn't face him as she talks, still not looking back.

She'll be fine on her own, after all. Even though the other Gems aren't here, it won't be all that different. She's lived apart from humanity for a very long time, until she met Greg. There's no reason she can't just go back to that, and keep people from getting close to her and getting themselves hurt like this.