It is sort of nosy, actually, but it's not as though he's ashamed to discuss his abilities—now that he can afford to do so without worrying about being inconvenienced, anyway. Still, he's sensed an opportunity to be difficult, and so:

"I work with the sheriff's office in Mafaton, actually." Perhaps this evasion will come off as humility? Or prudence? That is a rather knowing look, after all; he's not oblivious to her question. "Deputy, at the moment."

For now. He likes to dream big. (See: working with, not for.)