Heaven Sent - S9-E12
Continuity mistake: When the Doctor is first shown discovering the word "bird" written in the sand on the floor of the teleport chamber, the handwriting changes from being somewhat messy in the wide shot to being perfectly neat in the close-up.
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