Whether it can be a coincidence or not (and, one assumes from the inclusion of the line that it is not), she and Alistair must have had quite the conversation about it before she left him. Because you have several ways to play DA:O even within the confines of an Alistair-Warden relationship, you could have anything from a wife leaving her capable husband to rule his country to a mistress bailing out on a miserable king who only rules with the support of his uncle and didn’t want the job in the first place.
We don’t know a thing about where the Warden went, as yet. For the moment, my head canon is that she didn’t tell Alistair, either. I sincerely doubt he could stand up to Leliana’s determined questioning, after all. Even a hardened king still wants to think the best of everyone and would never believe the devout little redhead that helped save Thedas wasn’t his trusted friend. But if the Warden can’t tell him where she’s going, what the heck would she have said?
Alistair: C’mon, just a hint? I won’t tell.
Warden: Seriously, darling, I can’t tell you.
Alistair: Why not?
Warden: You know why not: the order came from Weishaupt and it specifically mentioned you.
Alistair: If it mentioned me maybe you’re supposed to let me read it.
Warden: Um, no.
Alistair: How do you know? It could be some code my unique position of ruler of Ferelden enables me to read.
Warden: Definitely not.
Alistair: [impishly] How can you tell? It may be an extra-sneaky code. [waggles eyebrows] I could help you decipher it.
Warden. [sighs] It says I’m not supposed to tell you where I’m going. The words are very clear and specific.
Alistair: [hurt] Why would it say that? I’m a Grey Warden, too, you know.
Warden: [kisses his forehead] Of course you are, dear. You’re also a sweet, trusting man who would tell the first person who came asking all about the new adventure I’ve left to enjoy without you. You’d incautiously swear Eamon to secrecy right in front of half the servants and then tell him all about it. And if someone from the Chantry came you’d fold like a wet piece of parchment.
Alistair: I would not! Didn’t I keep a secret from you until we got to Redcliffe?
Alistair: I did, too! [pauses] Didn’t I?
Warden: [smiles fondly] You do rather talk in your sleep, Alistair, generally about whatever’s bothering you. That’s how I knew you gave that side of beef the cook couldn’t find to Orana, though I still don’t know why you thought I’d care.
Alistair: You did? Wait, I what?
Warden: It’s all right. I don’t let anyone in the room while you’re sleeping. Camping out in the great Ferelden wilds, however…
Alistair: I can’t believe you never told me! What else did I confess?
Warden: [laughing] If I’d told you you might have figured out how to stop. I only mention it now because I won’t be here to keep your loose, adorable lips from sinking my ship.
Alistair: You’re going somewhere on a ship?
Warden: [patiently] It’s just a saying, love. I can’t tell you where I’m going.
Alistair: Fine, be that way. [sulks for a moment, then brightens] Oh! Did I tell you? Leliana wrote from Val Royeaux. She said she might come for a visit this spring.
Warden: [trying to act casual] Did she say when?
Alistair: No, just that she’d be doing something for an old friend and would be in Denerim in a few weeks.
Warden: [starts throwing things into a pack she pulls out from under the bed]
Alistair: What are you doing?
Warden: I just remembered that I promised to…go…visit Zevran. Tomorrow.
Alistair: You did?
Warden: Yep. In…uh…in the Bracelian Forest. He’s learning to be Dalish this week. I really must rush if I’m going to meet him.
Alistair: I’ll go with you! It’d be great to see that little dickens again and the forest is lovely this time of year.
Warden: No! You have to stay here.
Alistair: Why? I miss having you all to myself.
Warden: You have a kingdom to run, love. Now give me a kiss and go tell Eamon that you can’t be left without guards on the door at night. Outside the door, mind you.