Cole simply can't bring himself to do it (79). It seems that he is driven by a notion of himself as a kind of manly hero, a notion that often gets him into trouble. Luce argues that this is a sign of Cole acting as romantic hero, pointing out that "The novel is suffused with evidence of his immaturity, his romanticism, his grandiosity, his disappointed sense of entitlement" (155). When he meets with Alfonsa near the end of the novel, she approaches him with a weary worldliness, seeing in him the kind of youthful idealism that she had at one point believed in. She tells him a story of how she had once come to meet two young revolutionaries who later overthrew the government, only to be executed themselves in the next wave of political violence:

I'm not sure you can understand what I am telling you. I was seventeen and this country to me was like a rare vase being carried about by a child. There was an electricity in the air. Everything seemed possible. I thought that there were thousands like us. Like Francisco. Like Gustavo. There were not. Finally in the end it seemed there were none. (233)

Lacing her story with both a personal biography and a more universal philosophy, she argues

In the end we all come to be cured of our sentiments. Those life does not cure death will. The world is quite ruthless in selecting between the dream and the reality. (238)

Although Cole does not, in fact, immediately recognize the truth in what she says, he comes to later on. After he attempts unsuccessfully to talk Alejandra into leaving with him, he has a kind of awakening. He looks at himself in a mirror and doesn't quite recognize the image staring back at him, bruised and broken by the prison fight, broken by the failed love (255). It is this moment that he decides to gather his things and return home.

Ultimately, Cole's journey didn't end when Alejandra left him. He met with continuing violence as he gathered his...

However, he became justified in his search, in his own mind, sometime around that event. As he crosses into the border of the U.S., he meets a judge who questions him about his time in Mexico, and tells him he "done real well" to get back safely and sanely (291). Cole seems to think that it is not in the arriving, but merely in the journeying that he has done well. And as the novel ends he set off again.
Arnold suggests that the novel is an example of a "dark twinship" reflecting on passages from earlier novels in which characters were attempting to reign in chaos and violence, while Cole was seeking it out (18). While there seems to be something of merit in this interpretation, this reader found in Cole's story a quest for romantic connection to a set of values and a way of life that no longer seem viable. Cole as a desperate hero in search of this connection, merely proves by both rule and exception that the west is no longer with us, though its spirit and values remain.

References

Arnold, Edwin. The Mosaic of McCarthy's Fiction. In Sacred Violence: A Reader's Companion to Cormac McCarthy, Wade Hall and Rick Wallach, Eds. (El Paso: Texas Western Press, 1995).

Luce, Dianne. "When You Wake": John Grady Cole's Heroism in All the Pretty Horses. In Sacred Violence: A Reader's Companion to Cormac McCarthy, Wade Hall and Rick Wallach, Eds. (El Paso: Texas Western Press, 1995).

McCarthy, Cormac. All the Pretty Horses. New York: Alfred E. Knopf, 1992.

Snyder, Phillip. "Hospitality in Cormac McCarthy's The Road," The Cormac McCarthy Journal, 6 (Spring, 2008): 69-86.

Woodson, Linda Townley. Deceiving the Will to Truth: The Semiotic Foundation of All the Pretty Horses. In Sacred Violence: A Reader's Companion to Cormac McCarthy, Wade Hall and Rick Wallach, Eds. (El Paso: Texas Western Press, 1995).