Thanatos merely nods. It's not strange for Thanatos to think of a place looking like the outside--the surface--underground. That is Elysium. That was Asphodel. And the living should not visit the dead. They are of different worlds only to meet again once the living have passed. The Farplane sounds to be as it should be. (From a Hades Underworld perspective at least.)

They are close to the door leading to hallway. The door closes behind them, Thanatos doesn't even announce that he's going to shift to the kitchen. He just does, leaving Tidus behind to catch up with the transgate. He doesn't care about manners. He cares about doing the job.