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This is how I imagine a conversation between an Imperial guardsman and a Grey Knight would go down. PS: It's not canon.

The Imperial guardsman walked across the smoking battlefield, he was physically and mentally exhausted. He saw a tall lumbering grey figure in the distant fog. He approached him.
"Hi." His voice rang out, he smiled like a child.
"Hi." The Grey Knight towered over him, casting a dark shadow, showing no emotion.
"Wow a Grey Knight. That's so cool." The guardsman sounded excited. He smiled.
"I'm who I'm." The answer from the Grey Knight was flat and emotionless.
"Oh comeon, you get to service the Emperor for centuries, and slay demons. That must be so cool." The guardsman almost fainted thinking of the awesomeness of the Space Marine infront of him.
"I'm who I'm." The Grey Knight answered in a stern and emotionless way.
"Oh you must have seen so much, so many cool things." The guardsman sounded more annoyed now.
"I'm who I'm." The Grey Knight resounded.
"Comeon mate, you must have experienced something cool." The guardsman flailed a bit, he looked desperately over at the stern warrior infront of him.
"I'm who I'm." The answer from the Grey Knight was as stern as always.
"ARRRRRRRGH!-" The guardsman began.
*Blam-blam!* The Grey Knight coldly killed the guardsman with his stormbolter.
"Anger is the road to Khorne." The Grey Knight said before he teleported away. Meanwhile bloody chunks of the guardsman with armour and equipment rained down on the battlefield.

Yep, that sounds about right, except you forgot the part where the Grey Knight bathes himself in the blood of a Sister of Battle.

Maybe he teleported away to do just that