Once Yuki was returned back to the kingdom which he was supposed to be a prisoner at, he relaxed himself and exited the narrow hallway he was in before calling out to Zero. Yuki made a wise decision in returning as it avoided him having to deal with his captures, finding out that he escaped. If they had found out about that, Yuki would simply get recaptured but instead be executed as he would be too much of a threat because he was capable of escape under such extreme conditions. As such, Yuki decided that he would only leave the kingdom through the use of Zero's powers at night. This was due to the fact that his captures would assume he was asleep and wouldn't suspect a thing if Yuki's necklace didn't move at all during the night.