Bugs are a special kind of stupid.
First, he allowed K to goad him into eating him whole (fortunately) thereby reuniting him with his gun. The bug was moments away from making his escape with the galaxy when he decided to turn around and confront J about his stomping roaches with his foot. The more J stomped the roaches the more angry the bug got - to the point where he dropped back down to the ground to confront J rather than escape in the remaining saucer.
I guess it never occurred to the bug that as soon as he left earth with the galaxy, the Arquillians were going to destroy the earth. Why try to save the bugs from J when they were going to be dead anyway?