Sir Henry reacts to the warning letter in a seemingly nonchalant manner, but the fact that he seeks the help of the reknowned detective Sherlock Holmes in dealing with it indicates he is concerned. It is Dr. Mortimer who brings Henry to Holmes, but Henry admits that if his friend "had not proposed coming round to (Holmes) this morning (he) should have come on (his) own account".
Upon meeting with Holmes, Sir Henry at first attempts to make light of his concern, saying that it is "only a joke, as like as not". He is definitely mystified, however, because "no one could have known" that he was going to be at the Northumberland Hotel, and there was "no possible indication" that his friend Dr. Mortimer would be staying there either.
As Holmes and Watson discuss the case, Sir Henry becomes aware that they appear to "know a great deal more than (he) does about (his) own affairs", and is a little miffed. Politely but firmly, he demands to hear what they know in exchange for the information he is giving them. When he learns the details of Charles Baskerville's death and the mysterious happenings on the moor, he considers all aspects of his situation carefully. Although Sherlock Holmes is of the feeling that Henry should not go to Baskerville Hall for his own safety, Henry flatly refuses his advice, opting instead to think about the matter and decide for himself what he will do. It is evident that Sir Henry is a man who is not easily intimidated, and who knows his own mind (Chapter 4).