Desire didn't see a reason to run away from Mickey. They were intrigued by the young man. For more than just sex. They thought that there was a lot more to Mickey than what was presented to the world, and they were interested in seeing exactly what was beneath that rough tough-guy exterior.
"We can split them," they agreed, reaching for one of the subs in order to cut it in half. "And no. We don't want you tossed back in jail. That would not be agreeable to either of us." At least, Desire assumed that Mickey didn't want to be tossed into jail here.