As a matter of fact, they do!

"Come on, let's go!" Issei shouted as they reached the circle.

"Wait! We can't take the nun!" Koneko replied. Issei stared at her.

"And why the heck not?" he demanded. "Is it some kind of bullshit rule that I couldn't give a damn about right now?"

"No, it's because only Devils of my peerage can use the circle!" Rias explained before Koneko could start an argument with Issei. "We literally are physically, and metaphysically unable to bring her with us!"

That gave Issei pause. But only briefly as he saw Freed getting up and looking ready to **** someone, and his mind raced before quickly coming up with a workaround. "The hell we are! Rias! I wish we could use the circle to bring anyone I consider sexually attractive to the club!" he said frantically.

Rias blinked as she processed the wish/ obvious solution. "Right! Wish granted!" she replied, snapping her fingers, and they all crowded into the circle, Asia looking confused as to what that was about.

Freed charged them with his blade out, and the first of the Fallen Angels started coming in, when the circle lit up, and the Peerage, plus Asia were gone. "...shit!" Freed shouted, wondering how the hell the Devils had managed to bring someone outside their Peerage through their circle. He might hate Devils, but he understood their magic system well enough that it was a question that came to mind.

...

"Whew! Safe!" Rias sighed. "And based on what we can tell, the client made a clean getaway too... We'll need to send someone to him to tell him to lay low for a bit... And once the threat's over... I'm probably going to have to pay some damages," she admitted sheepishly as she rubbed the back of her head, remembering the hole she had put in said client's place.

"Well, better a wrecked house than dead... He probably would have been killed if I hadn't thought to make myself able to use the portal earlier with your magic, and thus took longer to get there," Issei surmised.

"Almost certainly," Akeno nodded. "Which would have been a small problem for our reputation... Clients dying on us isn't exactly a good look."

"Um, excuse me?" Asia raised a timid hand. "Where exactly is this?"

"...also, a question of my own," Issei added. "...why did no one tell me that the circle left behind could warp me back!?" he demanded comically, earning some chuckles from everyone else.

(Side note, what would you all like me to do with Raynare? On one hand, she's a bitch. On the other... She's hot.)