When Natalie kicks him out, Will realizes he has two options for where to go. He decides to walk through door number three, instead - or at least knock on it.
The air outside was cold, and Will had anticipated that when he left the house with nothing but his phone in his pocket and the bag on his shoulder. It contained enought clothes for a few days, and the safely stored firearm tucked underneath everything, and he could deal with getting the rest of his things or whatever fallout awaited him after getting some rest. Wherever that was.
He had two options ahead of him, really, and neither of them were ideal.
If he went to Jay's to crash on the familiar couch, he'd have a safe place to rest, of course. His brother had never given him a reason to believe otherwise. But the only problem in that scenario would be his brother's loyalty. He wouldn't actually get any rest, not with the fact that Jay would immediately drive them both over to the house again to give Natalie a piece of his mind. It was great having someone on his side and in his corner, really, but that wasn't what he wanted.