Malcolm raises an eyebrow when Sherlock looks at him and answers whatever question Gregson asked. He steps out of the room to talk to Gil, then call an agent he knows at the New York office. Voicemail. Malcolm leaves a message for now, then returns to Sherlock.

"Okay, my team is on it, your team is on it. I left a message with a contact at the Bureau. I don't know about you, but I have to know that Joan is safe before we start working this case."

She may be with the FBI, but Malcolm doesn't trust them for obvious reasons.