He only had two choices when deciding to leave the demon realm. The first choice was Dong Lang, while the second choice was Wu Li. Neither of the two was a place he could call home, but he still had to choose because he didn't want to stay in the demon realm.
Dong Lang could be said to be a foreign place to him. He had been to that place several times, but he still didn't feel connected to it. Moreover, the Emperor of Dong Lang had found out the truth about him, and the werewolf named Bai Guowei was very angry with him. Even if Wu Jinhai and Bai Chen defended him in front of the man, the man still refused to immediately trust a demon.
In fact, the situation in Wu Li was not much different. Emperor Wu Shun also knew his identity, and perhaps more people in Wu Li knew the truth about him now. Maybe he wouldn't be welcomed if he returned to Wu Li, but in the end, he still chose Wu Li.