Percy wasn't stupid. Yeah, he did stupid stuff, his plans were crap, and Annabeth says he is, but he isn't stupid. His IQ wasn't very high, but he EQ certainly was. So to say he was dumb enough to miss the fact that the elusive, mysterious son of Hades had a crush on him was an insult.

He understood why no one else could see it. He understood why some would think Nico liked Annabeth instead. For one, people just didn't have that mindset, when given the option between a guy liking a girl or liking a guy, they would automatically think it was the girl. So naturally, when they saw Nico giving the stink eye to Percy and Annabeth, they'd think he was jealous of Percy, not Annabeth. But Percy knew better.

Percy was probably the closest living mortal to Nico out of all the living mortals Nico was 'close' to. Hazel died, so she didn't exactly count. Percy knew Nico the best. Percy knew Nico didn't care for Annabeth at all. He knew Nico silently wished Annabeth didn't exist. (It wouldn't work for her to be dead-Nico was the son of Hades.) But Nico didn't just hate Annabeth. Percy saw how Nico hated him as well.

Percy was the closest living mortal to Nico out of all the living mortals in the world, but Nico hated him. Percy knew that even though Bianca had told him to let his grudges go, Nico still loathed him. Still loathed him for Bianca's death, for forgetting about him, for giving him empty promises. Still loathed him for not being empathic enough, for letting Nico fall in love with him.

But Percy knew Nico the best out of everyone. Percy knew all this, knew no one else knew. He knew Nico liked it that way, would rather no one know until it was over. So Percy did what was probably the only nice thing he had ever done for Nico, the only thing Nico would ever thank him for when it was all done. Percy pretended. He played the stupid, obtuse boy who didn't understand people's feelings. He pretended not to understand Annabeth's feelings when he knew them (although Annabeth was hard to decipher anyway, so there wasn't much pretending involved there), he pretended not to notice the looks Hazel gave Leo. He pretended to be ignorant of Coach Hedge's secret, he pretended not to see how Leo was in love. And he pretended that the son of Hades didn't love him.