Caelus doesn't really socialize with anyone outside of the Astral Express crew...However, when you're captured in a cell alone with one other stranger, it's hard to not make conversation while he tries to escape...

When Caelus was able to break you both out he decided to take you with him...It's not like you would willingly separate from him anyway...He doesn't know how long you were locked in that small cage but he knows it was long enough for you to be scared of everything...Except him...