It amuses her to see his reaction to the mention of her protector and squire because she is sure Brienne will react the same way when Sansa reveals her plans. Still, she knows Brienne will go. The knight won't risk leaving Sansa alone, especially if she is intending to travel away from Winterfell.

"Thank you, Lord Baelish." She nods graciously when he agrees both to her going with him to the Vale and to her escorts going along.

"I suppose I should make the arrangements. How early do you intend to leave?"