He was scared, plain and simple. Loki knew he had gone too far, but unfortunately heavy emotional pain and liquor had damaged his rational thinking... as it often did, and now he was fairly certain he was being hunted like an animal. It was what caused him to run from Aegir's feast directly into the mountains, without bothering to stop home to alert his wife or children as to his future whereabouts. He was never going to see them again. The Aesir were going to kill him and not only did they not need to be present for that awful thing, he didn't want them drug down with him.
Sigyn was a brilliant woman, she would finish raising their children on her own. He may not have been able to say goodbye to them, but their safety was paramount. The Aesir were likely mobbing, and mobs never thought things through. Sigyn, Narvi and Vali might be harmed in the crossfire.
So into the mountains he had gone and built himself a shack for shelter. A simple four-walled room. With four doors, one facing each direction, and a whole slew of windows. Loki wanted to be able to see his attackers coming so he might be able to exit out the opposite door and make a run for it. He was not going to die willingly. He was going to give them a hell of a chase first.
And he didn't want to die.
He was peeking out the window of what he thought was a cleverly disguised shack, thanks to brush and branches and stone around him, he saw a familiar form staring right back at him with his one eye. What was Odin doing here? Were the other Aesir behind him? Was the Alfather simply there to point Thor and the others in the proper direction?
Loki backed away from the window, his instinct was to flee. If Odin knew where he was, this was no longer a safe place.