"How did you feel to meet a family member?" Sahara asked Kai the moment they came back.
Much to their surprise, no armies were visible anywhere. This meant that the people were still gaining information or they were just hiding and waiting to attack at the right moment.
But before that could happen, Kai and Sahara vanished.
He teleported them to a place on the demon realm which was very dear to him. It was the place he and Rias and fought Azrael together for the first time and had defeated him.
After his defeat, the place had turned into a barren field but the two of them had worked together and converted the place into their secret place.
Kai had later on put a special concealing formation on the entire place to make sure that no one could enter it and disturb the two of them.