Jace felt cold and not just from her touch. Vampire, definitely. That didn't bother him. Vampires were nothing, really, but this being? If she saw him? That meant there was something more going on and he was not so much in the mood to tempt fate. Of course, he had tempted fate before and come out on top. He was Jace, after all. He could dance with fate a little.
"Hmm," Jace said, "I walk princesses to the light, I don't really walk them to the dance if that is where they belong. If that's where you belong, I'm sure you can get there on your own." Agreeing to go to her place? Pure stupidity. Running away? Not his style. Let's see what "princess" would do.