He tells Mozzie he'll run, that he'll become Victor Moreau. They'll take the art and start fresh somewhere else, somewhere warm where the days are never-ending and the nights are filled with pleasures wide and varied. It's what they've always talked about doing, and he doesn't want to disappoint him.
He tells Peter that he'll stay. He likes the life he's built, the work he's doing, and he wants to keep right on doing both. He has friends now; people who'd care if he left. It's a new sensation, but it's one he's gotten used to and isn't eager to give up. He's surprised to find that it's not a con, just the honest truth from a man not accustomed to telling it.
He tells Sara... nothing. She doesn't expect anything from him, and he's not sure what he'd say anyway. I love you? I'm not cut out for long-term? She left, and no argument from him has yet to change her mind. And he's tried—oh how he's tried—but nothing feels right on his tongue, so he keeps his peace.
It's when he looks in the mirror, though, that he has his doubts. Neal Caffrey's face is the one he sees, even though that's not the name on his passport. He's not sure if he'll ever be able to look in the mirror and see anyone but Neal. This isn't the way it was supposed to be, and he mourns everything he's lost. He has his freedom, but it's ash in his mouth, because ultimately, this isn't what he wanted.
He knows he can't go back, and he struggles with that every day. Because for as good as this life is, it isn't his. His life in New York wasn't either, but he liked it just the same.