It truly is convenient that Sephiroth's logic is so much like Zechs' own that Zechs can't really fight it. It saves them both a considerable amount of debate.

To that end...Sephiroth expects that hit Zechs' pride takes at the thought of anyone seeing him like this. Hence, of course, the wing. If he flies Zechs to his home, then very few people - quite possibly none - will witness the man being carried through the city. Therefore, nothing to complain about except the man's own personal awkwardness.

At hearing Zechs is a pilot, Sephiroth chuckles quietly to himself...and then leaps into the air. Despite the seeming complete impossibility of it, he flies as smoothly as though he had two wings and his body were built for flight like this, even though both those things are demonstrably untrue.

"In that case," he says, over what little wind there is - they're not moving all that fast - "where do you live? I can get you there quickly."