Gatsby has poured out his heart and life story to Nick in chapter 8 of the novel before Nick realizes that there are only twelve minutes until his train, and then deliberately allows himself to miss it. He offers us one explanation as to why he doesn’t want to leave Gatsby, because he “wasn’t worth a decent stroke of work,” but then quickly dismisses it. He does not want to leave Gatsby, really, for personal reasons.
Nick doesn’t tell us what these are exactly, but we can guess. Before he finally tears himself away, he tells Gatsby that he is “worth the whole damn bunch put together.” Nick had never given him a compliment before, so we know that to be driven to say this, Nick is surely feeling concerned about what Gatsby’s current mental state must be. He knows that Gatsby has lost his dream and his friends, the young man he created a “shattered” illusion. It isn’t clear whether or not Nick is worried that Gatsby might harm himself physically or mentally, or that some harm might come to him from another quarter, but it is clear that he is worried about him in general and some part of him, without offering an explicit explanation, doesn’t want to leave him alone to dwell on the despair he must now feel at having lost everything he had dreamed of having.