When Roy and Lilith returned to the Chaos Sanctuary, the nephalem army and the Abyss demon army were already withdrawing.
The surviving nephalem returned to Sanctuary through a portal, while the Abyss demons were ordered to return to the Abyss. This order caused some Abyss demons to become restless at first, but they were quickly suppressed by Julia, Benia, and the others.
In fact, there were still many demons in the Burning Hells. They didn't know the plans of the seven demon kings, so they thought that the demon kings had already lost. When they saw Diablo and Mephisto being killed, the remaining demons fled in panic. Now that they were scattered in the seven realms of the Burning Hells, it was impossible for Roy and Lilith to find them one by one to eliminate them, so they could only let them be for the time being.