Because Lupin has had a death penalty warrant on him since Part 1 Episode 4. Even though Zenigata often likes Lupin and frequently prays for his escape, he has to obey the rules once in a while and there's nothing he can do about the warrant. It's not helped by the fact that he stole gold bars and almost got Zenigata killed by carelessly dropping him from a perilous height, even though Lupin is savvy enough to know by now that the chance of survival is almost always on the Inspector's side.