She kept it from her employer, intending to sell what she obtained to someone else—then her employer sent people to track her.
The transaction location was right here at this Dragon Country ski resort, Mao didn't dare to trade in Mao Country. The oligarch she offended had immense power there, so she came to Dragon Country for the deal.
When she discovered she was being watched and tracked, in order to escape cleanly, she chose Chen Yan as a scapegoat, deliberately got close to him, and grew intimate. Those monitoring her would mistake him for her contact or trading partner.
This would distract some of them to deal with Chen Yan—while she seized the opportunity to escape.
To be honest, after Chen Yan understood, he felt slightly relieved.
At least, it's not an official espionage case between countries.
He really didn't want to get involved in such affairs.