Trivia: At the beginning of the scene where Clara persuades Rigsy to give her his chronolock, a poster can be seen on a wall in the background, reading "DeLorean" (a Back to the Future reference) in Aurebesh (the writing system from Star Wars). (00:25:00)
Trivia: The amp that the Doctor is using when he's playing his electric guitar at the beginning is from Magpie Electricals, a recurring brand first introduced in Tenth Doctor episode "The Idiot's Lantern". And if you look closely, you'll see the clockwork squirrel mentioned in the previous episode sitting atop it.
Chosen answer: The Master knows that deep down, he deserves death for the crimes that he's committed throughout his life, and since he regards The Doctor as his arch-foe, he expects it to be at his hands. The fact that The Doctor is still willing to forgive him for all of his crimes hurts him more deeply than death would.
Captain Defenestrator