Nightmare Personified
The Alliance, who was still in the Western Regions of Elysium, didn't know where Nyarlathotep had gone with the body of the Giant that Eiko had summoned to help them fight earlier.
King Azza and Keoza both knew that they weren't a match for the creature earlier, and both of them now had grim expressions on their faces.
A creature that was stronger than them as an ally was different from a creature that was stronger than them as their enemy.
Also, it seemed that Nyarlathotep managed to take over the creature's consciousness, making it twice as dangerous.
The Mastermind of the War on Elysium might have left, but that didn't mean that the battle was over.
Facing millions of Abyssal Monsters, the Alliance knew that they still had to fight. They couldn't let such a threat remain in their world.
The Abyssal Lords, who had been left behind by Nyarlathotep, also understood that they were at the point of no return.