Due to their time constraint, all five members of team China, Gandalf, Aragorn, Legolas, Gimli, Theoden, and the remaining riders from their guerilla warfare tactic headed out.
The marshals who returned with Gandalf were initially worried about this group leaving because their king was part of the operation and their enemy was a white wizard. The marshals wanted to accompany the group. However, Theoden was a determined warrior himself. He refused them then the group left immediately afterward. Furthermore, the existence of Zheng in this group would grant them safety. They only had to look out for hidden enemies.