Musar על ברכות 21:11

This is the reason the name used for Yitro in this connection is חובב, just like the word חובב, in Deut. 33,3, that we just quoted. He hinted to him that by attaching himself to the Jewish people the same benefits that would accrue to them would also accrue to him. The reason Moses had to spell this out was because it had not been promised directly by G–d. His promise had been made only to the Jewish people. When Yitro said "I will not go," he revealed that he had misunderstood Moses, and had believed that the only thing that Moses had referred to was the land of Israel in this material world, not also its counterpart in the celestial, spiritual domains. He had understood that from a legal point of view the land of Israel had been given only to the Jewish people, that proselytes had no share in it. He had understood the words of Moses “והטבנו לך,” as something that Moses and Israel volunteered to do, but something that was not legally binding. To this offer Yitro responded "I will not go," i.e. I do not need to depend on your favors. He said "I have my own country that I can go to, one in which I have legal rights." He implied that if the major attraction of the land of Israel were the מצות which could only be performed on that sacred soil, this did not apply to him at that time, since he was returning to his birthplace, מולדתי, in order to proselytize the other members of his family. This he felt surely rated as an important מצוה at that moment. In this we follow Rashi's commentary on Exodus 18,27, וילך לו אל ארצו.