Greg pulled back his hand when he saw how Sherlock was reacting to the touch. He sighed and shook his head, although the other man couldn't see that since he had closed his eyes firmly. He almost managed not to comment, but.. "Greg." he corrected him with a scowl. 
But he knew Sherlock didn't actually want him to call John. And Greg was not yet ready to give up on trying to help him himself. 
"You are not fine." he said softly, watching Sherlock sob and panic and really just wanted to hug him or something. But he obviously hadn't reacted too well to being touched. He turned, sitting sideways so that he would look directly at Sherlock.
"Sherlock." he waited a bit for a reaction. "Sherlock look at me." he said. "I'm here, okay? You're safe now! I've got my gun with me and I'm not going anywhere, alright?" he told him, keeping his voice low and soft, trying his best to calm the other man.