Ignorance was bliss, right? And, anyway you sliced it, Mickey knew about bliss. He also knew about ignorance, about how you could hide in it, how you could seek refuge from the harsh truths of the world. And bliss was one way to do that.
So he heard Leon's words of caution. About how it would never work out, about how he wouldn't be able to stop, about how Mickey was a risk of dying. He heard all of it, and he ignored it. Because while Leon was reciting facts, he wasn't talking about truth.
So Mickey shivered when Leon licked his lip and he told his ex-boyfriend the only truth he knew right now. "Leon," he whispered. "I love you."