Fox was one tough bitch, but she was also one smart bitch. She's been in the game long enough that she liked to think she wasn't simply reckless, whether it was planning an assassination or lending a hand in a rescue mission. As much as she wanted to help Wesley find his friends and watch his back along the way, when the injury she just sustained, she would only slow him down. Maybe even endanger him further if they continued on and there were more wolves or God knows whatever else down here.
Makeshift tourniquet made, she was at least confident that they've stopped the bleed, for now. Hopefully long enough to get back up to the hotel and find some medical attention.
I can't lose you just when I got you back!
The statement made Fox's mouth twitch with a small sentimental smile, despite the pain. There was a part of him that wanted her back. Even after her lies and betrayals, not able to be sure if he could trust her, he was glad she was alive and back in his life. That was worth something.