Poor Twilight! She feels so bad about having to leave them behind. At least she gets to see her brother again.
If you want to know why Twilight left them beforehand, you can read the spoiler below. Since people on DeviantArt have been confused, Twilight left them because she was the only one at the time who could go back and warn them that she was right so that they could prepare for his attack. She later sends a patrol to rescue Link and Zelda.