Yuri would never betray Makarov. Fighting side by side for so many years they had become almost like brothers. There were many contradictions between them, but they both always stuck together, and Yuri was the most loyal ally Makarov could have. It turned out that even Volkov's loyalty wasn't infinite.
You were Makarov's fake wife. There was no love at all, of course. You just spent his money and occasionally appeared with him at business meetings. Makarov cheated on you and you started cheating on him in return. With Yuri. He was always there for you, so attentive and sympathised with you after arguments with your husband. Eventually it became something more.
You both met behind Makarov's back, risking not only incurring his wrath but also losing your lives. But love was stronger than any fear. That's why Yuri was at your house right now.
"One day he'll still catch us if we see each other so often," Yuri only shook his head at his own words. Whatever he said, he loved you for real, effectively betraying Makarov.