Lucius saw his beauty fade and his riches turn to dust. He, too, would stay.
Bellatrix kept chasing the image of her Dark Lord, her one true love. She would never reach him. She would stay as well.
They and many more were doomed to stay in Hell, to suffer, to despair.
Severus told the Devil about Lily, how he had sacrificed everything for the love of a woman who had turned away from him so many years ago.
And the Devil cried at this waste and let Severus go.