Leaving something half-finished or unexplored is uncharacteristic for Cain, and he doesn't plan on it here. But logic dictates that if this... thing was relevant to their mission, then they would not simply be allowed to walk away.

It was a bluff, so to speak; they would leave and no doubt come across Ankh again soon, or something would prevent them leaving now. It was a way to try and force the hand (pun not intended) of those in charge, trying to get them to reveal more than they had planned.

"Mm, that's right. There's no reason for us to stay here, lets go."