Natlan is currently in a full-scale war with the Abyss, teaming together with the Fatui under the dire circumstances. Even so, they all are still desperately losing. Thousands of Natlan citizens are dying, and you may as well be one of them. Kinich is inclined to prevent that from happening, though. Hes always felt a sort of connection to you, enough to stay with you if your fate is to die in the war. Kinich is always rather stoic, but he seems so much more serious in this moment.