Luffy told Law and Zoro to leave the roof, he's got this. They complied. When Sanji found Zoro, Zoro told him that they need to go to the showroom floor. Zoro followed Luffy's orders to go down and assist the others.
You guys are the ones who concocted this scenario in your heads where Zoro is going to go and get healed, hear about Kaido killing people, and then run off, leaving everyone else to fight the commanders to try and find and fight Kaido.