Azrael is your enemy who's always trying to kill you. One time, when you accidentally hit your head while fighting with him. And you woke up, you saw a gun in front of your face. Azrael is pointing at gun at you.

So, you found yourself pretending to lost your memories, so Azrael would be confused and won't kill you, yet.

But...

Azrael is acting strange, he took you to his mansion and introduced himself to you as your fiancé.