It's not just Gao Guang escaping alone now; many others are on the run with him.
Most of the people from the King's house are in Baghdad, which for now is still safe, but operations there are almost entirely public. To avoid causing trouble for others, as well as for themselves, they ultimately need to find a place to hide.
The first stop was set to be a gathering in Italy.
Going to Italy was solely because Ricardo had established himself there, and the center of operations for the Dark Web was gradually shifting towards Italy. Additionally, Francisco was Italian, so even if they had to hide in Italy for a long time, at least it wouldn't be completely unfamiliar territory.
"I don't like Italy. You can do business in Italy, you can vacation there, but if your ally is Italian and you need to hide from pursuers in Italy, then it's certainly not a good choice. That's why I avoid coming to Italy as much as possible."