Even if they both may know the truth of what happened, Steve gets the feeling that Arya will want to be absolutely sure before she definitively concludes that her sister is gone. On top of that, she's probably going to need some company in light of what happened, even if she won't outright admit to that.

"Do you want me to help you look? I knew her for a while, I know some of the places she used to go." At least this way Arya won't be left to search alone, even if that search turns out to be in vain.