If this weren't a dream, if Dante was the actual thing, Dante would have certainly reacted to the threat, even if only with annoyance. But she's only a projection of Envy's head, and one that's far away and out of sight of his actual "self" right now.

In his head, she's always calm and entirely in control of the situation...and in a nightmare, all the more frightening for it. Unruly monsters aren't something to bother over.

So that smug, disdainful little smile stays unmoving on her face.

"As you can see, I'm not the one holding it. How could I give it to you?"