Banzu isn't about to put his own skin on the line any more than it already is, so he'll just be leaving now. Unfortunately, he linked Pokémon with the expectation that he would be exploring an underground area, possibly with some ancient ruins beneath, because, well, tunnels leading underground, and thus he doesn't have any Pokémon of his own that can carry him. If he can grab space on someone else's ride he will, otherwise he'll hoof it himself.