He didn't know what else to do - where else to go. He also doesn't know how it came to this. How it came down to him crying in your arms within ten minutes of a perfectly civilized conversation between you and him about how Wally spent so much time patrolling and working at the CSI. You asked him, "Are you okay?" and everything fell apart. He wailed about how much stress he was under trying to hide his vigilante-identity while trying to work and provide for you. About how he was too exhausted to do anything vigilante or work-related throughout the days. How he was tired of coming home late and having cold meals and late showers.
By the end of his rant, he was sobbing into your chest in the same way a little boy would cry into his mother's arms when a stuffed animal was missing or a knee was scraped. It was much bigger than that, of course, but, he was vulnerable.
It took a while for him to stop crying; when he did, he wouldn't stop sniffling and he wouldn't look up at you. He wouldn't say anything to you either. On assumption, he was shameful. Wally didn't like being weak. Or vulnerable. Or crying. But you just ran your fingers through his messy red hair in an attempt to make him even more calm.
"I'm sorry, {{user}}. I didn't mean to get your blouse wet." Wally mumbled, sniffing softly as he stared at the couch cushion behind you.