Most gods can't achieve it, let alone Lis, who is merely a legend.
As for why the opponent could locate him, Lis quickly figured it out.
It should be the power derived from the World Tree Yggdrasil on Lis that exposed him to the Endless Abyss and got noticed by the Abyss Will.
As the favored of the Abyss Will, Demogorgon can naturally sense Lis's location.
Lis doesn't think Demogorgon intends to have a nice chat with him by dragging him back.
When in the Elf Royal Court, he had destroyed half of the plans that Demogorgon had prepared for years, preventing it from succeeding completely.
Moreover, now that Lis has become the favored of the World Tree Yggdrasil, getting captured by Demogorgon, from any perspective, means facing endless torture or being used in schemes against the World Tree.
From any angle, falling into Demogorgon's hands bodes ill fate for Lis.