Touch is a sense that made it over perfectly intact, unlike his sense of taste. Even though he doesn't need to breathe and gains no biological sense of relief from pulling in air, the gesture and the feeling of the wind is...it's nice.

"The family I serve moved there, in order to turn their magical power to what they felt was a better cause. They abandoned their living quarters on Earth after a civil war between several mage families." He sort of shrugs, a little. "Thus, it has been my home for much of my life."

There's a few gaps in that explanation, but it's less that he's deliberately withholding the information and more that he just doesn't really consider it important or relevant. Things are what they are. He doesn't feel the need to mention the more personal parts.