Why does gatsby refuse? What is he holding on to? What do you think of his behavior?

I am guessing you are asking why is he refusing to leave. He refuses because there is a part of him that still wants the dream that was the love that he and Daisy shared when they were young. He wants to believe that Daisy will leave Tom and that she really loves Gatsby and wants to be with him. Too much has changed in the past for her and she cannot do what Gatsby wants.

I think Gatsby behaves as many people might. People often are chained to their past and cannot, therefore, move into the future. Yet sticking to the past like that only ends up tragically.