He started walking and for a second Anna wasn't sure what she wanted. Well, that wasn't entirely true. She wanted to stop feeling like assbutt. However, in place of that, a distraction wouldn't be too bad. Crowley was a decent distraction so far. They'd been talking about it (despite the fact that he said he didn't want to and he was the one nagging her into it), but Anna hadn't been feeling it so much. Her heart didn't ache in her chest. Her head wasn't spinning. It was a distraction.
Logic, and the twinge of her Grace when she was near him, pretty much warned against following him. He'd gotten her once, who was to say she wouldn't fall prey to it again. So it was either risk being an idiot and follow him, or go back to her room and sulk. At this point both of her choices kind of sucked. It was either be miserable by her own hands, or be miserable by Crowley's.
Or, she could take the third road and wander out into the woods and shed her skin. That wouldn't fix it, but it sure as hell was a better choice than the other two. Without her body she had much less ability to feel like shit. So, despite the fact that she was sure Crowley expected her to follow (his ego was absurd sometimes), Anna disappeared from the spot she'd been standing in and headed for the woods.