A line like that would have been terrible. There's no need to explain it any further, because it's clear what happens:
1) Joker tells him the addresses.
2) Gordon asks "which one are you going to?"
3) Batman says "Rachel!"
4) Batman walks in expecting to see Rachel, but Dent is there.
That's it right there. As soon as you see Batman walk into the room where Harvey is, you get it. Batman gets it. Joker tricked him.
The only ones that don't get it are Harvey Dent, who pretty much goes nuts anyway, and everyone in the audience that just doesn't pay enough attention to what they're watching.
This is not a confusing movie. Granted, it doesn't hold your hand either, but if a person pays attention, they'll see that everything fits fairly well.