Perhaps Tidus doesn't realize that Thanatos will just shift locations once he reaches the hallway outside the gym, or maybe he plans on following through the moved transgate. However, he has a little time to talk before Thanatos vanishes on him to the kitchen.

"Not many should make friends with Death Incarnate." He does have friends on the train, but Thanatos thinks the best thing he can do for them is to take care of train duties and let them rest.