Oh, I see. It is a reference to the Drama CD 2, when Kyuubey spies a naked Madoka in the bathroom and she calls him a pervert and he says he doesn´t feel anything
Justified in Madoka´s case for obvious reasons, but Mami?
And don't... feel anything!?Mami, what's the matter!? You are making a scary face!Kyaaaaa!Kyubey you pervert! Don't come into the bathroom!Hey Mami, can I come in with you?Pervert you say? That's unexpected. Even if I see you naked, I don't feel anything!You see this body...