There are a few interpretations of this scene.
She may have bonded with him more, but he was still a monster to her. He was one of the names she recited at night, ensuring she never forgot him or his atrocious crimes. He killed the little butcher's boy she played with all the way back in Season 1. By being so close to Joffrey, he was also "part" of what brought her father Ned to his death.
So despite becoming closer to him, she wasn't going to do him any favours and grant him mercy. She was going to leave him to his slow, painful death as retribution for all his actions.
Another interpretation is that it truly was mercy. She may have left him there, but unless you see someone die in Game of Thrones, you never truly know how they end up. She may have felt that after everything he did for her, killing him was a step too far and was too difficult.
Finally, you might be interested in what Maisie Williams, the actress who plays Arya, had to say about the event:
Describe what it was like to shoot the scene in the finale where Arya
walks away from the wounded Hound.
It was one of my most enjoyable scenes, which sounds awful, because
it’s such a deep, twisted scene. But I’m really happy with the
outcome. It felt like we were all on the same page. I read the scene
for so long, but then to hear Rory [McCann]—the Hound—screaming to
come back and kill him, it really got to me. It’s just acting, but
there’s so much of you in the character, so it’s awful to walk away
from a full-grown man screaming to come back. He had all this makeup
on, and broken bones and big bites on his neck. For a second, you have
to remind yourself that it’s fake, because it gets intense. You have
to take a breath and remember you’re not that cold-hearted bitch
How did you play her emotional state as she walked away?
I really don’t think it was spiteful. She doesn’t purposefully leave
him there to die. He’s bossed her around for so long, it’s like that
final straw of, “Now you take me seriously, and it’s too late.” Her
whole life, she’s been desperate to prove to people what she’s capable
of. Now the Hound really gets it, and it’s too late. He has almost
created a monster and it’s started to backfire on him. That’s a lot
for her to deal with as well. She kind of likes him! He really helped
her out, and as much as it would be doing him a favor, I don’t think
she wants to kill him at all. And possibly walking away is killing
him. But in “Game of Thrones,” unless you’ve got a dagger in your
heart, it doesn’t necessarily mean you’re dead.
And how ironic that she takes his money.
It symbolizes that moment [in episode 3] when he took the father’s
silver. In that moment, she’s saying what the Hound said then: “Dead
men don’t need silver.” All the lessons he taught her she’s now using
As much as fans root for her, they also have a soft spot for the
Exactly. This whole season, I’ve been saying that Arya makes some
decisions that people might not like. She’s very different to the
person that people fell in love with in season 1. I hope that people
would root for Arya, but people have learned a lot about who the Hound
is and his past.
I've emboldened part of her comments, to make it clearer.
On a final note, here is some additional, spoilerific book information:
In the book, Brienne is nowhere around in this scene. The Hound fights Polliver and the Tickler (two of his brother's men) and, despite being both drunk and starving, manages to kill both of them. However, he is wounded mortally in the process. Arya won't give him mercy and leaves him to die under a tree.
Now, whilst the above is what happens in the books, the following is also interesting to note:
Brienne learns that the Hound may have made off with Sansa Stark. Following this lead, she eventually ends up at a monastery on the Quiet Isle, where she meets an Elder Brother who informs her it was the other Stark girl he had - Arya. He claims there is no chance the Hound is alive, as he buried him personally.
In this scene, the following is said:
"I know a little of this man Sandor Clegane. He was prince Joffrey's sworn shield for many a year, and even here we would hear tell of his deeds, both good and ill. If even half of what we heard was true This was a bitter, tormented soul, a sinner who mocked both gods and men. He served, but found no pride in service. He fought, but took no joy in victory. He drank, to drown his pain in a sea of wine. He did not love, nor was he loved himself. It was hate that drove him. Though he committed many sins, he never sought forgiveness. Where other men dream of love, or wealth, or glory, this man Sandor Clegane dreamed of slaying his own brother, a sin so terrible it makes me shudder just to speak of it. Yet that was the bread that nourished him, the fuel that kept his fires burning. Ignoble as it was the hope of seeing his brother's blood upon his blade was all this sad and angry creature lived for...and even that was taken away when Prince Oberyn of Dorne stabbed Ser Gregor with a poisoned spear."
As a result of this scene:
Many fans of the book believe his comments indicate the Hound still lives. In fact, many believe he is the novice gravedigger on the isle. There are quite a few clues behind this (see here), but ultimately it goes to show what I've already mentioned - unless you actually see someone die in GoT, anything is possible!