I think Juan Carlos knew if he stayed he'd end up in prison.That would be extremely damaging to Felipe's reign. I'd like to know how he's going to be supported financially while in exile. Felipe? Stashed money? Also, it looks like Sofia's staying in Spain. I'm sure she's sad at this end but she at least retains respect.
The DM does need proofreaders though. It claims Juan Carlos and Sofia have been married 75 years. Not quite!