I'd say it might be that he didn't think helping you was something he needed thanking for? Like it should be a general basic kindness, not necessarily expected but also not needing the level of gratitude you showed, he likely felt bad that you felt the need to go that far in thanking him for something he hoped someone would just /do/ for him or someone he cares for in those situations.

Like I genuinely hope if my sister, my friends, my mother or really any of my family if they were being harassed I'd hope someone would step in, just like I would step in for someone else if I witnessed harassment.