Why did Ernst Jürgen choose to do that in the film Unknown (2011)?

The answer is right there in the scene:

      Cole turning to face Jurgen. Smile gone. Glint of a gun
      inside his jacket. Jurgen looking steadily back at him.
      Takes a deep gulp of coffee.

                     COLE
      You had fifteen minutes after I
      called. Why didn't you run?

                     JURGEN
      Where would I run from Section
      15, Mr. Cole? I can hardly walk.

And then later on:

                     COLE
      I want to know how he found you.
      I want every number, every source
      you've contacted on his behalf.

                     JURGEN
      And then what? We shake hands
      and you go away?
      Cole reaches a hand inside his jacket...

                     JURGEN (CONT'D)
      There's no need for that.
      Beat. Cole's eyes flicker. Jurgen's body tightening... the
      coffee... the empty sachet of sweetener...

(From IMSDb.)

Cole may be an old man too, but he is armed and his ruthlessness is seen clearly enough in the later scene when he deals with Martin. Jürgen - the old Stasi man who is already dying of lung cancer - would rather die on his own terms than be interrogated then murdered.

I love that scene: two fantastic performances and a real air of mutual respect between old adversaries. To my mind it feels like a scene from a proper spy drama like Tinker Tailor grafted into an action thriller.