"No, I. I'm fine. It's not even -- it's a little arrow. Only a little one."

He is babbling. It's whispered babble, because he's trying to keep attention off himself, but it's babble nonetheless. The shock might be impairing his judgement a little.

Walter stumbles back and his injured leg gives out. That whole 'trying to stay inconspicuous' thing is not working out too well for him.