An NSA mission to collect information on Anarchy 99, a mercenary group of former Russian soldiers goes awry when the agent's identity is discovered. Anarchy 99 has a biochemical weapon named "Silent Night," missing since the fall of the Soviet Union, and NSA Agent Augustus Gibbons believes the only way to get close is to recruit an agent that would not have any ties to the United States government. He selects Xander Cage, also known as X, an extreme sports professional and host of his own television show, who was recently captured by the FBI for stealing and destroying a prominent California senator's car as an act of protest. Gibbons puts Cage through two tests – stopping a staged diner robbery and escaping from a drug cartel's plantation in Colombia – and offers Cage the mission. Cage reluctantly agrees when Gibbons offers to wipe his criminal record.
Cage goes to Prague and meets with the NSA support team including Czech agent Milan Sova. While scouting an Anarchy 99 party, Cage purposely reveals Sova's cover, which allows him to gain the confidence of Anarchy 99's leader, Yorgi. Through Yorgi's brother Kolya, who is a fan of Cage's show, Cage gains critical information on the military background of Anarchy 99's members. Cage is attending a car deal with Yorgi at his invitation when Sova shows up and starts a firefight. Cage shoots Sova with a fake blood-splatter round to make it look like he is dead, which causes Yorgi to fully accept Cage as a member of Anarchy 99. Cage returns with Yorgi to their headquarters, a castle outside of the city, where he meets Yorgi's girlfriend Yelena. Cage finds Yelena trying to break into Yorgi's safe and tells her he is an American agent. Yelena gets a call from Kirill, a sniper working for Yorgi, who reveals they know of Cage's true identity before he starts firing on them. Cage helps Yelena to escape, but is kidnapped by the NSA team. Agent Gibbons tells Cage to return home since his cover is blown, but Cage refuses as he fears for Yelena's safety from both Yorgi and a planned attack on the castle by special forces. Cage learns that Sova purposely blew his cover.
Cage sneaks back to the castle and overhears Yorgi's plans to equip a waterborn drone named Ahab with "Silent Night" to release the biochemical in the middle of every major city, starting with Prague. Yorgi tests the weapon on his scientists, killing them. Cage rescues Yelena from Yorgi and kills Kolya. At a safehouse, Yelena explains she is an FSB agent, working undercover to get close to Yorgi two years ago, but six months after the start of the operation, her contacts abandoned her. Cage races to a nearby monitoring station which Anarchy 99 uses to secure the castle and destroys it by starting an avalanche, but is captured by Yorgi's forces.
Cage is taken back to Yorgi, who reveals he has captured Yelena again and has known about her true identity all along. As the special forces attack starts, Cage and Yelena use the opportunity to escape, killing Kirill and Yorgi, who already launched Ahab towards the center of Prague. Cage alerts Gibbons, who has the Czech military prepare to destroy the Ahab via airstrikes with the unfortunate side effect of releasing some of the biochemical agent. Cage harpoons Ahab from the car and causes the drone to sink underwater. Cage is rescued and Gibbons promises Yelena American citizenship. Cage and Yelena are relaxing in Bora Bora when Gibbons calls, telling him there is another mission. Cage ignores him and goes with Yelena.

Question: Why does Cage refuse to go back home after his cover is blown?
Answer: He is afraid for Yelena's safety