Well, now that he's been called out, he has to respond. Rorschach doesn't say anything as he slowly fades into existence, at first appearing transparent and fuzzy like he was being viewed through a pane of glass, then finally going solid as he was going to get.

He doesn't say anything as he stands there with his hands in his pockets. Even for a ghost, with his unusual mask, he stands out. The mask's inkblots move slowly in the cold, forming a jagged splat in the middle, before dividing in two, and taking off for opposite corners of Rorschach's face.