After cutting off Sofie's arm defeating the Crazy 88, the Bride announces (from memory): "Those of you who are still alive and wish to keep their remaining limbs, piss off! Except you, Sofie! Stay were you are!"
Why would Sofie obey? She has a pretty good chance of hiding (or maybe, you know, finding someone with a gun). The Bride is essentially a stranger in Tokyo who just somehow knew about the Blue Leaves. Sofie on the other hand probably knows the city inside out.