Dan's torn. On one hand, he has a duty to rescue others, on account of the fact that he possesses the skills to make that happen, and he suspects Price is trying to manipulate him, rather than actually being too scared to be alone. On the other, a rescue isn't complete when you dump someone right outside the reach of the threat and then ditch them.

He gets off the horse and ties her reins to a low branch on a tree, then stands beside her to help Price down. "Good girl," he whispers to Concrete Blonde.

Then, to Price: "yeah, I would. I don't reckon there are many folks back in there. I didn't see no one else before I came up on you."

Apparently there's Price's redheaded woman somewhere, but Price didn't mention she was in any danger.