I don't own Kingdom Hearts or any associated characters, nor an I profiting off of this story. All rights to the characters used go to the creators of the franchise.
He swears that he is not in denial. He swears it, even though his master just attacked him, has just tried to kill him. Terra arrives, and he and Eraqus are fighting, with real keyblades, and he just wishes that Aqua will come to clear up this fight like she has all the others. But Terra pushes him away and darkness closes in and he wakes up in a new world, with no way of knowing what has happened.
He leaves that world and, as he travels on, towards where he knows the final confrontation will be, he reflects. His first memories are of training alongside Aqua and Terra. Of Eraqus teaching him how to summon a keyblade. The land of departure, for the longest time, was the only world he knew, except in Aqua and Terra's stories. There is no way, either in his home world or in those stories, that Eraqus had taken him in, only to kill him. Despite the χ-blade, despite Vanitas, this is not supposed to happen. It never happens in the stories, it never happens in his world. Men like Eraqus aren't supposed to kill.
But he arrives in the Keyblade Graveyard, sees Terra and sees Aqua's face and knows and does not ask. Eraqus is gone, not coming back. And he realizes that the worlds are not fair; they don't always have happy endings. He's a little afraid, but he is willing to accept it.
"Put an end to me," he tells them and, as Terra and Aqua look away, he thinks that he finally understands.