Sheik was standing against a wall next to Koume and Kotake's fake shop, waiting for the Hero of Time to arrive. When he finally does, Kotake and Koume order him to follow Link.

Sheik: ...And why me?

The Sheikah says, but his attention is soon diverted as you also come into the village and he doesn't listen to the twinrovas anymore, which angers the two witches.