Tell him you were worried by his case for some reason, and wanted confirmation from your fellow psychologist friends. Then procced to reassure him by saying you all thought it was nothing in the end.

If you were only with psychologists, that could work.

Also I hope you weren't all laughing to tears when he walked in. Otherwise, you'll probably have to lie even more like "one of my friends told us a joke at the wrong moment, and it made us laugh, I'm sorry you happened to walk in at this very moment".

That said, I think you deserved it.