Yeah, Anthony wanted out, his fault...
He could be in trouble because of his Ripper times so he would have to be back in England to solve it. Or something to do with Eyghon... Buffy's death gets him thinking about his own soul - a propertie of Ehygon - so he decides to leave to deal with it. It is still a selfish motivation, but at least, a understable one. Or he is sick, or thinks he is sick, and will die soon, and leaves to spare the Scoobies of another death.
Lame, I know, but I'm not very creative.