Pan Shi had somehow brought Zhou Tian to this world, and based on typical circumstances, Zhou Tian could almost be considered an illegal invader.
Knowing Zhou Tian's existence, neither Pan Shi nor the living beings of this world could tolerate his continued presence. Although Zhou Tian's retreat wouldn't necessarily prevent him from being discovered, it certainly reduced the likelihood of such an event. Given the situation, Zhou Tian had no choice but to proceed in that manner.
He was already in an extremely dangerous environment, and if Zhou Tian wasn't careful, it would be difficult for him to survive.
Out of caution and to prevent Pan Shi from possibly finding this place, Zhou Tian immediately chose to leave upon discovering the differences in this world.
Although the world Zhou Tian was in might have been fraught with countless dangers, there were no formidable foes nearby. Hence, when Zhou Tian prepared to leave, he encountered no obstacles whatsoever.