I think it was perfectly reasonable for him to walk out of an interview that unnecessarily pried into his personal life, touching on personal and sensitive topics that should be handled with tact. Guru-Murthy hadn't developed any kind of chemistry with him, and he was trying to turn a run-of-the-mill promotional interview into a televised counselling session.
As much as I respect Krishnan Guru-Murthy as a journalist, especially when you look at his body of work that includes shows like Unreported World, this was cringe worthy: he came across as a smug, smarmy reporter trying to set up and antagonise a celebrity - an interview style reminiscent of Martin Bashir.