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Heathcliff left after hearing Catherine proclaim that marrying him would degrade her. She went onto confess her love for him, but Heathcliff wasn't around to hear it. He'd already disappeared.
"I have no more business to marry Edgar Linton than I have to be in heaven; and if the wicked man in there had not brought Heathcliff so low, I shouldn't have thought of it. It would degrade me to marry Heathcliff, now; so he shall never know how I love him; and that, not because he's handsome, Nelly, but because he's more myself than I am. Whatever our souls are made of, his and mine are the same, and Linton's is as different as a moonbeam from lightening, or frost from fire."