To some extent, there are various and/or multiple answers to this question. I don't think that a reader could provide an absolute definitive answer as to specifically why Connie goes with Arnold Friend at the story's conclusion. I think one possible answer is that she has no alternative left to pursue. She tried to brush him off with some initial banter, and she tried to forcefully tell him to go away, yet neither of those things worked.
"No. I got things to do."
"You two better leave."
"We ain't leaving until you come with us."
"Like hell I am—"
Then Connie tries to physically distance herself from Friend, but he just closes the distance. She thinks that maybe she can stall long enough for her family to get home, and she even thinks that calling the police is an option; however, Friend cuts off each avenue of hope with surprising efficiency. It's possible that Connie goes with him consciously because she fully realizes that Friend is going to take her no matter what.
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