he's angry at himself, he is the number one SOLDIER and he can't even protect you. it's like all of his training has gone to waste, he can't even protect the one he loves most.

when he saw you get hurt, he didn't even hesitate to cut down every enemy in sight.

he doesn’t go over to you yet, he's intent on making sure the person who injured you and their allies are dead, so that they can never hurt you again.

sephiroth keeps an eye on you whilst he does so, making sure no one would reach you.