He's a dude who could kill demons, which is something people apparently would rather not do out of fear and leave it to the professionals. If a man with demon slaying skills couldn't escape from mafia, who ever could? I'd say he felt some kind of strange obligation to pay back his old man's debt, and it didn't ever visit his mind to try to avoid the responsibility, even though it didn't have anything to do with him. How the mafia swindled his reward money away spoke volumes about Denji's lack of wits. It was like a textbook case of seemingly paying him pretty decent money, but then suddenly there were all kinds of expenses, leaving him with a mere fraction of the reward. That's the kind of scam that works on the gullible. At least they still paid him something. In some Japanese "comedy" I have seen negative rewards after all the expenses. Wasn't that also the case in Konosuba? It's a part of the insufferable "a hero must always be poor" Japanese trope.