His intention was clear—he wanted to stick with his brothers. His brothers trusted him, and if there was danger, he couldn't just run away by himself. Doing so would make it impossible to face his subordinates again with any dignity.
Nezha didn't try to dissuade him. People have their aspirations; he could understand that. Besides, Old Li might not even run into any danger—Shen Gongbao wasn't completely out of his mind.
Old Li's actions were just precautions. If Shen Gongbao actually went crazy and wiped out the entire upper echelon of Nantang, Nezha could clean up the mess afterward. But by then, Nantang would already be utterly ruined.
As for Old Li, he was an adult; let him take care of himself.
If he really ended up getting himself killed, Nezha could always use his connection with Old Jiang to pull some strings. No matter what, he wouldn't end up worse than he did in the original timeline.