Jimmy left the hospital and returned to the hotel.
Mahone wanted to continue investigating the jailbreak case, which was within Jimmy's expectations. Mahone is the kind of detective who is very focused; previously investigating the jailbreak case was part of his job, but being tasked to shoot all the escapees was arranged by those threatening him.
Now, even though he no longer had to worry about his ex-wife and son, the case still needed to be handled. It was one of the most important things he came to Chicago for.
Moreover, now he has a strong helper, so he has no worries and can do his job freely. He could even use himself as bait to draw out the people behind the scenes, which gave him more motivation to get out of the hospital and join the investigation.
