We were really together, it wasn't like with Hydra.

But

I couldn't tell her the truth. About anything. I didn't trust her enough. And she didn't exactly trust me either. And I knew I was making her a target and then she got a pin -- and that was awful. She didn't blame me, but we both knew it wouldn't have happened if we hadn't been dating.

So I broke things off because

Anyone I like gets used against me. Sooner or later. Anyone. It's bad enough when it's you. Katie wasn't even in the Order.