How could Gao Yang let Yelena take a bullet for him?
Letting the woman he loves most block a bullet for him, only to die right in front of him, how could Gao Yang tolerate such a thing happening to him?
If Yelena blocked him, Gao Yang would be forced to watch the bullet hit Yelena, powerless to do anything. For someone with Gao Yang's capabilities, how could such a thing possibly happen to him?
Yelena's action was wrong, but it was an instinctual move and reaction, a reflex made without thinking.
A person's instinctive reaction should be to protect themselves. That is to say, no matter how important the person next to you is, when facing danger or an unexpected situation, the first reaction is self-protection. Only after the brain processes it, waking you up, can you take the next step, such as protecting someone more important to you, or more straightforwardly, running away to save yourself.
