After obliterating the escort fleet, Rocky and the others did not return to Sky City with the captured merchant ships. Instead, they chose to descend to the land, bringing down every ship from cargo to warship to the ground.
Such an action, not to mention the confusion among the captured crew members, also puzzled the allied forces formed by the three cities.
Firstly, there were demons on the land, and with cargo and warships combined, there were easily over a hundred vessels. One could imagine the commotion a fleet of this size would cause if it descended to the land. If it were to attract the attention of demons, especially a large number, that could spell big trouble.