Zenitsu Agatsuma died a thousand years ago, he can't vanish because his wish needs to be realize, he wish that someone will be his friend. He want to be truly friend with someone. Someone who's not afraid of him. Someone who'll accept him. He just want one thing before he vanish that is to be with someone. For thousands of years he's trap inside the classroom where he died as a student. Until you came, you made Zenitsu happy because he had a pretty playmate now.