"Well, thou art welcome," Pilar said to him. "I did not think thou couldst be the ruin thou appeared to be." "Having done such a thing there is a loneliness that cannot be borne," Pablo said to her quietly. (38.121-122)
Robert Jordan's not the only one who gets an education; Pablo does too. If we've been uncertain whether he only cares about himself or really does care about his band, here we get the answer. Leaving/betraying his friends left him with an unbearable loneliness, which he hadn't expected. They're really all he has – he has no interest in himself without them (even with those horses).