I think you can both validate his upset AND stay out of that can of worms. Something like "it sounds like that conversation was very upsetting to you" without offering to do anything about it, and if he pushes it, say that you can't control how other people talk.
I don't think it's reasonable that he dictate how you conduct your relationship with your grandmother and it's certainly not his business if you choose to confide in her at this painful time. Whether or not you did is irrelevant; you have the right to seek comfort when you need it.
Me42, H40 D12, S8, S7 A revealed: 7/13 Sep 4/14; Agreed to D 1/15