After becoming a Vampire and discovering the true story about the tragic fall of his family, Rex became stuck between 2 places.
Then, he contemplated going to revenge his father's death immediately but, in the end, logic pushed him to stay in Obedin City with his friends.
Now, a similar situation came again but he had only 1 choice this time.
Rex would be damned if he let any of his friends die due to his family problems, he would rather leave them and face his fate alone. If his fate was death, he would face it alone like a man rather than implicate others.
Even if his fate was death, Rex was ready to give his all to defy it.
Having met the Scorpion once, Rex was pretty sure that one on one, he would be destroyed in less than a second by this powerful assassin.
This was why he did not contemplate leaving to get revenge immediately, his main reason for deciding to leave now was to get strong.
He wanted to get so strong that people won't have to fight for him again.