The prologue's botched job, in which Gon accidentally kills a little girl in the United States, is the key to everything that follows. His next target in Korea, Mo-gyeong, is the mother of the child he killed, a woman who has also lost her husband. So Gon's refusal to kill her is not simple attraction or pity. It is an attempt to make up for a crime she knows nothing about.
In the climax, Gon kills two of the assassins while watching over Mo-gyeong. He calls her and tells her to pick up a nearby gun, warning that a man is coming to kill her, the same man who killed her daughter. That line carries a double meaning: Gon is the man who killed her daughter, so his warning is also a confession. Guilt-ridden and remorseful, Gon protects her at a heavy cost to himself. The Korean title, "The Crying Man," takes on its full meaning here, as the killer finally breaks under the weight of what he has done.