Some pain enters his eyes when Axel walks away from him, something dies within him. Something he never expected, nor anticipated. Something new, something generally not allowed within the ranks of the nobodies; emotion. Sadness, fear, hate, all things he doesn't want and yet needs in some primal way. He wants to run at the man walking away from him, the man with the fire-red spiked hair and bright neon-green eyes. He wants to say something, but nothing'll come out. He's the one supposed to be walking away, the only one supposed to be escaping. But Roxas supposes Axel is also escaping in some other way too, escaping from him. And he feels shame fill his heart for the first time.
He tries to bring a scornful look to his face, his eyes. He tries not to care and yet no matter how hard he tries, he can never achieve what he wants, even with this newborn emotion blooming painfully in his chest. He wants to cry for the first time, he wants to laugh for the first time, but he wants to do it all with Axel. And he knows he can't, because no matter how forcefully Axel is walking away from him, no matter how much he seems like he might be angry, it's all pretend. Some kind of painful act. An act of something that can never be imitated. And Roxas can't experience all of this with Axel, because Axel will never be able to do these things. It wouldn't be fair to Axel anyway, for Roxas to show off emotion to someone who can never have it.
And so reassured in his fairness, Roxas turns tail and walks away. His boots clomping on the concrete the rain falling around him slipping over his hood and dripping on his nose. The neon signs around him reminding painfully of Axel's eyes, taunting him, telling him he'll never see him again. And it's true; this is instinct speaking for once within his hollowed heart. He'll walk away from the first person who ever made him feel anything, he'll defeat Riku, be defeated by Riku, have his memories erased and then be deported into his other half, Sora, never to be returned again. Not even to cry out in pain when he sees Axel begin to fade away. But he doesn't know any of this yet, and he walks away, sure that his decision was better for everyone.