It's a sinking feeling in the pit of his stomach. It's nausea that simply won't go away. It's betrayal: Sam deserved to be in the Cage, Adam never, and yet Dean rescued Sam?
Later, Sam will vividly remember staring down Death, saying "I won't leave without Adam—take us to heaven, to Adam's mother's heaven, if you don't want to take us back to earth, but don't even think about getting me out and leaving Adam here." It won't be much comfort, because it'll feel like self-delusion.