Zhan Jiuxiao was telling Zhan Wuya that his Eldest Senior Sister Zhan Shuangxue's death was also his doing.
Even though he had already heard Yu Huang and the others discussing that Zhan Shuangxue's death might be related to Zhan Jiuxiao, Zhan Wuya was still unwilling to suspect his mentor, who had treated him with great kindness.
Even though he realized that his mentor was a great demonic cultivator, Zhan Wuya was unwilling to believe it. After all, according to this theory, the great fiendish cultivator occupied Zhan Jiuxiao's body since a thousand years ago.
The person who married Mentoress was the great fiendish cultivator. Even if he was a demonic cultivator, he was still the father of Eldest Senior Sister and Little Junior Sister. Zhan Wuya always thought that demonic cultivators were also human, so even if his mentor was a demonic cultivator, he probably wouldn't be ruthless enough to sacrifice his biological daughter in order to achieve his goal.