The Bandit felt that Henry's words weren't an empty threat. The guy himself has survived this long by understanding his enemies and working his way around them.
Right now, his instincts told him Henry was not bluffing. He would really shoot if something happened… his instincts also told him that Henry might shoot even if nothing happened.
So he did a compromise, "Alright, why don't we all calm down just a little bit and hehe talk this out… somewhere nice and clear without your men standing around you."
"Yeah, that's not happening." But Henry shot him down.
"What happened? I'm sure someone as big and strong as you wouldn't be scared of us lowly bandits, right?... or is there something else?" The bandit said with a childlike tone.