Because at that point his bloodlust had cleared. He was able to catch Zero because Kallen walked away and let him and by catching zero he had avenged Euphie in his mind.Originally Posted by Ryllharu
Also the fate the Emperor gave to zero of taking away his mother, sister and well being zero was a much more satisfying revenge then killing Lelouche could ever be for him. He was also granted the title of one of the strongest Knights in the Empire as a result.
So seriously what more could he gain by turning in Kallen? I would think he believed that her walking away from Zero like that ment she had accepted his side or atleast broken Zero's control over her as he probably assumed Zero used his Geass to make her do bad things.