Before Levi left, he asked the Black Knight if the latter wanted to follow him.
The Black Knight also had the talent to become a wizard. He could follow Levi into the Wizard World. Under Levi's care, it would be easy for the Black Knight to become an official wizard!
Moreover, if the Black Knight wanted to improve his Black Devil Blade, he would have to increase his spiritual force to the level of an official wizard. Levi had also told the Black Knight about this.
However, the Black Knight turned down Levi's offer. He was already used to life in the human world. If he went to the Wizard World, he would have to climb up from the bottom. He would not be used to it.
The Black Knight believed he could devise a solution to improve his Black Devil Blade after breaking through the shackles of the legendary realm.