Mai has left the palace, but not to her family's estate.
She has not gone to Ember Island. She has not gone to any well known retreat.
It takes nearly three months for Zuko's soldiers and spies to conclude that the lady Mai no longer resides in the Fire Nation.
She has vanished.
As soon as he learns it, Zuko feels himself come over by an icy calm.
It all makes sense now.
She has gone to regroup with Ty Lee.
She has gone to find Azula.
(Azula is dead. Zuko remembers the battle. He killed her himself with her own lightning. Her eyes grew so wide and Katara rushed to her. Katara who hated Azula even more than she ever hated Zuko, Katara was crying "her heart has stopped" Azula not moving her eyes so wide. She was dead she was dead she was dead because he killed her.)
Mai has gone to find Azula but there is no Azula anymore so that means that Mai must be Azula now.
Zuko shakes his head. He knows it's absurd, but...
It starts to make sense.
The whole time Mai was was with him, she was collecting power in her own right. Now she has enough ties forged from blackmail and debt. She doesn't need him anymore.
And wherever she has gone to, she won't be gone for long.
She'll be back, sooner or later, back to sheathe a dagger in his side.
She'll be back, and Zuko will almost certainly find himself caught in whatever snare she devises.
She'll return, and Zuko will fail.
He is one step closer to losing everything.
He is alone on a precipice.
He feels as though he is falling.
Falling. Breathless.
Nearly free.