If anything he was trying to humor her— there was no way he could ever help Elsa in a physical way. Nor did she truly need his protection. But he’d try anything if it meant securing her safety. Currently it seemed her feelings were in danger.
"Actually Anna did say I’m kind of a prince— but I can be a knight! Ooh would my armor be ice like your dress? Can I have a cape, too?"
He was such a goofy little snowman and she adored that about him. She hadn’t intended to bring him to life– but she was amazed at the personality he had. The Queen liked to believe Olaf developed to be who he was without her magic playing much part in the building of his personality. That he could grow just like the average person might.
“A cape and a crown. A prince can be a knight. But really, you have the freedom to be whatever you’d like. You can choose what I make for you.”