Pedro II was very old and ill by the time of his exile and also thought that exile was, at the very least, a somewhat "honorable" means of leaving Brazil.

There is also some debate as to whether or not Pedro II fully understood the circumstances of his exile. His aides and family members may have shielded him from the full consequences (Roderick J. Barman, Citizen Emperor: Pedro II and the Making of Brazil, 1825-1891, 2002).

Edit: a word.