[ Because it can't, and it doesn't know. Those are questions for a more human Ryoji who would be able to reason and think and explain, not Thanatos who is driven by his fears and instinct— seeing that flicker of blue in Yu's hands, feeling the well of power that is another Persona, and that's where its head turns and unleashes the megidola on that side of him, not a direct attack, but a warning. The only one it will give, before drawing its sword and forcing Yu into a battle, the only way Thanatos knows to get its point across:
no subject
I am a danger. I will kill you. Leave. ]