Leo was sure Gene would see the advantages of staying in California -- with Leo -- once he gets Gene back home. But it looks like Gene’s only here to find out why he’s been threatened, and to make sure his only friend in the state isn’t the one making threats.
Leo knows finding out the truth could leave Gene disillusioned and in danger. It probably doesn’t matter that Leo cares a hell of a lot for the guy. Enough to protect him, find out the truth, and let Gene decide whether to stay or go.