Yes, he was indeed confused. The quote can be found in Pierre Gilliard memories, since the Empress asked the tutor to slowly describe the new situation to the Heir.
Three days passed. At half-past ten on the morning of the 21st Her Majesty summoned me and told me that General Kornilov had been sent by the Provisional Government to inform her that the Tsar and herself were under arrest and that all those who did not wish to be kept in close confinement must leave the palace before four o'clock. I replied that I had decided to stay with them.
"The Tsar is coming back tomorrow. Aleksey must be told everything. Will you do it? I am going to tell the girls myself."
It was easy to see how she suffered when she thought of the grief of the Grand-Duchesses on hewing that their father had abdicated. They were ill, and the news might make them worse.
I went to Aleksey Nicolaievich and told him that the Tsar would be returning from Mohilev next morning and would never go back there again.
"Why?"
"Your father does not want to be Commander-in-Chief any more."
He was greatly moved at this, as he was very fond of going to G.H.Q.
After a moment or two I added:
"You know your father does not want to be Tsar any more, Aleksey Nicolaievich."
He looked at me in astonishment, trying to read in my face what had happened.
"What! Why?"
"He is very tired and has had a lot of trouble lately."
"Oh yes! Mother told me they stopped his train when he wanted to come here. But won't papa be Tsar again afterwards ?"
I then told him that the Tsar had abdicated in favour of the Grand Duke Michael, who had also renounced the throne.
"But who's going to be Tsar, then?"
"I don't know. Perhaps nobody now."
Not a word about himself. Not a single allusion to his rights as the Heir. He was very red and agitated.
There was a silence, and then he said:
"But if there isn't a Tsar, who's going to govern Russia?"
I explained that a Provisional Government had been formed and that it would govern the state until the Constituent Assembly met, when his uncle Michael would perhaps mount the throne.
Once again I was struck by the modesty of the boy.
At four o'clock the doors of the palace were closed. We were prisoners! The composite regiment had been relieved by a regiment from the garrison of Tsarskoe-Selo, and the Soldiers on sentry duty were there not to protect us, but to keep guard over us.
At eleven o'clock on the morning of the 22nd the Tsar arrived, accompanied by Prince Dolgorouky, the Marshal of the Court. He went straight up to the children's room, where the Tsarina was waiting for him.
After luncheon he went into the room of Aleksey Nicolaievich, where I was, and greeted me with his usual unaffected kindness. But I could tell by his pale, worn face that he too had suffered terribly during his absence.
