Loki has escaped successfully after the battle against Bladeheart and the others. Due to the unexpected weapon that appeared, the only reasonable way for him to avoid a certain death is to escape instead of pursuing a more brutal fight. Loki is not a combatant, but a trickster. He will use all the things at his disposal to fight back without needing to fight by himself, which is why he is using a backup body in the first place.
The attack earlier inflicted damage on him despite using the substitute. A weapon made by the gods, even if he is immortal, he still needed to escape as the weapon is not something he can endure even if he used something as a substitute for his body, the wound would make its way to his real body. If the substitute is killed, then his real body will be killed as well. So retreating from a fatal battle was something that was smart for him.
