What's your problem? You made your case very clearly and his answer was no. He's speaking for himself, not anyone else. And he gave his reasons clearly, too. What are you going to do, badger him until he says yes?
No, just disgusted by people who obviously have no idea what it is to love someone that much. "I'd be sad" is a pathetic answer to the question, painting him either as someone who truly does have no idea what the question was referring to, or a sociopath.
Might as well be "hey, better you than me, bitches. I had the chance to save you and ensure both of you had a wonderful life, but hey, at least I get to spend the rest of my life having a par-tay. Woo! Anyway, you guys are vegetables, so I'm out. I'll try and muster up a tear or two later. I'm sure my Taco Bell will help with that. God bless spicy food when you need to fake emotions."
It's even better when you consider that in most religions, you're neither sentient nor conscious after you die. Your soul is a mindless part of you. Completely worthless for all intents and purposes, at least as far as most discussions go about the afterlife; you don't go to some wondiferous place, fully aware and cognizant, and spend all eternity twirling and dancing with your loved ones. In fact, I'm not aware of any religion that actively includes that Hollywood version of Heaven.
But you're willing to postulate one that includes an eternity suffering in hell. A little one-sided, what?

All I can say is, I hope the demon can make a better case than you.

On second thought, I hope he can't.