"Hmm, I'm not sure."

Having a pet is not something he's ever seriously considered.

"But it needs to be able to fight or flee, or both, from danger."

Otherwise there's not much point in him getting attached.

"So maybe something demonic? Ukoku told me there's demonic monsters in the Far West who take the shape of animals..."

Which doesn't necessarily scream 'pet', but it also doesn't scream 'helpless'.