I have a guess as to why. But... it doesn't make complete sense to me.

Besides that, Lucifer is proud. He always has been. To get him to change his mind about anything... I don't know that any of us could.

[He feels his relationship with Lucifer had been rather strong, and even at its healthiest, he doesn't think he could convince the Avatar of Pride of anything that he already hadn't set his mind to in the first place.]

But I want to talk to him. I respected him too much to want to leave things like this. If he can't hear me, and if he doesn't care for Belphie any more...

Belphegor is the closest person in any of the three worlds to me. He always was, even when we were angels.

I don't want to lose any more family. Not him. Not Lucifer. Not any of my other brothers. But... [It feels like it might be inevitable. And it horrifies him.]