He was going to say good-bye to her.
They were trapped in a vicious cycle of parting ways, returning, and parting again. He was banished. He returned. He ran away. She found him. She sacrificed herself so he could run away again. She escaped from prison and found him. Now he had to leave again.
The Avatar had learned his lesson from the failure of the full scale invasion. He changed tactics this time. He would take the Fire Lord like Azula had taken Ba Sing Se – secretly and hidden, with only his four closest allies to help. Mai was not one of them.
"If you want points for telling me to my face this time, forget it," Mai informed Zuko after he finished explaining it to her.
Zuko, correctly guessing what was on her mind, replied, "It's different this time. This time, you know I'm coming back."
"No. I don't," Mai corrected him. The gravity of what she meant drove them into each other's arms.
"Why'd I have to fall for such an idiot?" Mai mumbled, still embracing him.
"Why do I have to keep doing this to you?" Zuko whispered, mostly to himself. He pulled back slightly and stared into her eyes. Did Mai realize how much she meant to him? Did she know how the thought of his own death didn't hurt as much as the thought of being separated from her? These could be their last moments alone together, and he wasn't thinking about the upcoming battle, the plan, whether Aang was ready, or if he had taught him everything he needed to know. Right here, right now, all he could think of was how he wanted to take her up to his room and be with her like they had last time they were here.
It was impossible. They didn't have enough time, the house was overrun with kids all younger than them... And still, they hungered to be closer, just once more. To lose themselves in each other and their passion.
Zuko reached up, stroked her hair, and whispered, "If you could have anything you wanted right now, what would it be?" She sighed with longing, and when she opened her eyes, he was smiling in a way she easily recognized. Knowing what was coming, she parted her lips as they kissed ever so lightly.
Zuko pulled away, took a deep breath ,and leaned towards her again, breathing fire down her throat as their lips connected again. Then the world disappeared and all there was was the taste and smell and heat and the rush. Her firey blood reacted, every tissue and sinew in her body, it seemed, aflame with her desire.
Mai moaned on and on with sensation flooding through her as they devoured each other's mouths and the fire still burned. Her whole body tingled like a plucked cord as she took each deep heavy breath. It seemed to go on for eternity but not nearly long enough. She couldn't take any more, but she never wanted it to stop.
Finally, Zuko released her mouth, allowing her to gasp for air as the heat in her body intensified and the fire raced through her blood before fading away. They held each other even closer as they caught their breath and the room spun. Mai buried her face in her prince's shoulder as her brain recovered.
The first coherent thought she had was pity for lovers who didn't have Firebending in their genes (dormant or not). Love without fire must be so boring.
Explanation for how I think this is possible: Mai is not a Fire Bender, but she is from the Fire Nation. Remember how Mike and Bryan said in an interview that bending is a spiritual thing as well as a genetic thing? That everyone could have the potential to bend the element of their nation, but it wasn't strong enough in non-benders to develop it? That a hundred-year-old man could someday suddenly start bending and say, "Hey, I never knew I could do that!"? Well, I'm going with that.