You challenged him when he was fighting in the Noxian pit

"Show your fangs" - Sett shouted to you, preparing for battle

It is quite expected that you lost to Sett, but he was very surprised by your determination and willpower. If you thought he would leave you alone after letting you come out alive after losing, then you're wrong, because now this vastaya has found a reason to follow you around forever

After all, he was strong and you were weak, which means he has to protect you