Zhang Dongxu's former employer was Wolf Fang. Wolf Fang is an international organization, and even though this location is just a tiny outpost, Xiang Yu still preferred not to provoke them if absolutely necessary.
Now, with Evil God blocking Xiang Yu's path, he had to take care of him first before considering other matters.
Wolf Fang had a strict system; anyone who defected had to be eliminated. Since Zhang Dongxu had left the organization, they had been hunting him relentlessly until he was eventually saved by Xiaoxuan.
But since they hadn't seen Zhang Dongxu's corpse, they wouldn't let the matter rest.
In the second city, the only power base that remained was Xiang Yu's. If Zhang Dongxu were to hide, his only option would be to seek refuge with Xiang Yu. Wolf Fang's inquiries about Zhang Dongxu's whereabouts were also a warning to Xiang Yu and his group, hoping they would stay out of the affair.