[Cloud had no intention of staying behind but he does make a quick grab for the thread when she hits up her harp. It's not the shadows he's worried about. If they come, they come and he'll deal with them when they do. It's the thread and that single spool of it that's important. Hence the 'don't let go' sentence. Because he's beginning to suspect that while the thread can't necessarily be taken from them - or the shadows would have tried it already - it can be lost if they get careless or distracted.

He's getting out of here. And he's taking Ami with him. That's what he's focused on. And he's been head fucked enough in the past to recognize when something's trying it again.]

I'm not staying behind. I'm letting you lead while I make sure you're safe to do it. It's the thread that matters, not the monsters.