Kingdom Hearts - Fight your archenemy for $30

They do explain it, Sephiroth's an embodiment of Cloud's darkness. What that exactly means in context to how Light and Dark works in this universe, we're not sure. But Cloud sure as hell wants Sephiroth and is willing to abandon both Aeris and Tifa to find him. (Though, he was technically also looking for Aeris in the first game too, and they meet up in the credits epilogue.)

CLOUD: Where the fuck is my money Sephiroth?!

SEPHIROTH: I used it all to get you a present.

CLOUD: …..why you….and pray tell what present did you get?

SEPHIROTH: Despair.

CLOUD: >8 (