Thanatos tried to explain it once to Alice how mixed his feelings on the matter is, and it's even more complicated now. He's felt the despair of losing almost everything that was besides his duty. It's not something he can put into words and convey correctly.

"If I have to return to the train... I'll fight it as long as I'm able to." He has contacted the Ministry, and they have arrived on his world. However, their capabilities are painfully slow, and there is no telling what the gods of Olympus will do. Olympians are not above punishing mortals trying to interfere in the business of gods, and they won't hesitate to declare war against another god, which ultimately puts more mortals in danger.

Thanatos has to give the mortals, Hermes and Charon, as much time as he can. "I stay as long as possible."