[Rocket sighs, half-sure of the answer she's giving him, and not quite certain she can help how she's going to feel. He lifts a hand and rubs behind her ears.]

Awhile back, that Rasyc dude had his goons kidnap a bunch of us. They brought us out to some abandoned place up in the mountains, tied us up, and tortured us. I, uh... I haven't really been good in the cold since, I guess.

[It's not very detailed, but he wants to see how she reacts to that part first... and he doesn't want to overwhelm her maternal instincts.]