"This is not my Hell," he replies, tilting his head at Illyria's bulk. "These are not my demons. They can burn this city and slaughter every man, woman, and child for all I care."

So long as the demons didn't attack him, Lucifer has no investment in these people or their city and no reason to protect it. Let them burn it all. If they knew what's good for them, they would let him pass and he could watch the flames from a nice vantage point. He's always planned to have front-row seats for the Apocalypse, and this is just like Apocalypse-Lite. The teaser-trailer, coming soon to a planet near you.