Max didn't respond to Macaque. Instead he waited for Cole's reaction and what a reaction it was.

"Well, I mean you died the ultimate death. You were removed from existence and the very memory of you set to be purged for all time. From time itself. A certain King fancied a do-over after you saved my sister. And was all set to remove two key variables from the game completely. I made sure they didn't happen. Well, not entirely anyway. I save the memories of the two of you and made sure to reinsert them into the timeline once I was able to. And now you exist again."