There's no such thing as Spaghetti Town

To be fair, in both the manga and the anime they'd just had an argument regarding how much he wished she'd just leave (The anime is, as it's usually the case, a little bit worse because there he ruined a party the troopers threw for her with his attitude.) and Ten isn't in the house either, but there's really not a real reason one should jump to the conclusion that she's left for good, unless you're Ataru Moroboshi and failure and misfortune are things that follow you and you've mentalized yourself for the idea that anything good that happens to you is not going to last.

So, working back from this, you get: if she's gonna leave eventually, what's even the point of getting attached, right? Better to keep the options open, better to not actually feel anything for her.

Except he DOES.

There's a moment in the anime episode I absolutely love because it conveys so much without a word. As he finds the doll and is starting to entertain the thought that it's over, he looks at the stars from his room and it's like the vastness of space occurs to him for the first time. How unlikely it was that they even MET in the first place when she comes from out there. And now, has she gone back there? Has she really gone back to her planet? Which one of those thousands upon thousands of stars is hers? How would he be able to even find her again if he tried, in such a big universe? Could it be that he really is never going to see her again? Was she just a shooting star, never meant to stay in his life for more than an instant before soaring away? He just calls her name twice, softly, but it's almost like he's realized she's not going to be able to hear him anymore even if he calls louder. And confronted with a thought that's terrifying to him, he falls in denial. He makes up elaborate scenarios in his mind so that it's not Lum left because she was sick of him, but something bigger keeps her.

(Which. My brother in Christ. You're terrified of the possibility that she might just be done with you while also very much self-sabotaging yourself to get there sooner.)

He's just... utterly miserable. When other girls leave, sure, he's bummed, but he's quick to jump to the next infatuation as soon as he's able. Here, he doesn't even flirt with other girls, he's that miserable. There's even a moment in the anime where he and Shinobu meet and you would think they're gonna retake where they left off when Lum arrived, right? But actually, Shinobu is just genuinely worried about him because she's known him since they were kids and can see he's hurting. There's no judgment, no reproaches, she just asks him 'Is there anything I can do for you?' because, shit, this must be KILLING him. Followed by the actual musical number, Kokoro Bosoi Na- and I could rant for a while about how this song seems to represent Ataru's thoughts on how Lum sees him rather than Lum's actual thoughts, but this is long enough as it is, MOVING ON.

Finally, he spends the second night of her absence holding the doll to him crying his eyes out and cursing out Lum for leaving him because how dare she worm her way under his skin when he tries SO HARD to not set his heart on anything in order to avoid it getting broken when he inevitably fails at getting it, and then just leave him? The series very rarely does emotional moments that aren't played for laughs, specially regarding Ataru, I actually think this is the very FIRST moment where we see him genuinely care for something deeply (It's either this or the caterpillar, but I'm not sure about the order.)

And of course, it turns out she was just out doing something and the plan always was to just come back to him when she was done, but there's a moment right before he sees her again where he's just walking to school, looking like he cried himself to sleep and carrying her doll close to his heart, sighing. His attitude is all 'She's really not coming back. This is life now. I'll never see her again.'

And I KNOW that him seeing her again and immediately putting up a front like he's annoyed by it is just- Takahashi tsundere boy for ya. But it's also him trying to protect himself again. 'See, she's here. Take your distance, otherwise when she does actually leave for good, it'll kill you.', (And it really ALMOST does when she does in the final arc, boy was just ready to kill himself trying to prove he loved her without uttering the phrase because he knows his words are worth near to nothing by now.)

Ataru is just desperate to not be hurt and as it often happens in these cases, he in turn ends up bringing the hurt upon himself for it. And it's, you know, comedic, but also amazingly deep when you dig a bit.