It is in Chapter Eight that you need to look to find the answer to this question. Of course, we are left to infer Nick's motives from his narrative, and yet the central reason why Nick does not want to leave Gatsby is because he recognises what Gatbsy is only just beginning to recognise: that Gatsby has failed in achieving his dominant dream--to gain Daisy. Note what the text says just before Nick tells us how reluctant he was to leave Gatsby:
The track curved and now it was going away from the sun, which, as it sank lower, seemed to spead itself in benediction over the vanishing city where she had drawn her breath. He stretched out his hand desperately as if to snatch only a wisp of air, to save a fragment of the spot that she had made lovely for him. But it was all going by too fast now for his blured eyes and he knew that he had lost that part of it, the freshest and the best, forever.
Nick knows how this dream has consumed Gatsby for so many years, and how everything that he had achieved in terms of his wealth and prestige has been aimed at the one goal of "winning" Daisy, and thus he is immensely concerned about the impact of this destruction of dreams on Gatsby and how he will react. This is why he does not want to leave him alone.