Normally, he'd teleport to the source of the voice to avoid the risk of being ambushed along the way. Here, however, he simply isn't familiar enough with the layout of the building. He hadn't taken the risk of exploring while sneaking away, so now he's left to wing his way up the stairs, as cautiously as he can.

"What happened to Dante? Didn't think he was the sort to take something like this lying down."