D. They knew that the whole story was fantastic, no one would believe it right away.
A Journey to the Center of the Earth is such a marvelous science fiction story that talks about an adventure to the center of the Earth. The Italians played an important role in the movie since the place where the adventurers exited was in Italy, particularly in Mt. Etna through Stromboli's vent.
If they had told the Italians where they came from, surely they wouldn't believe in them. How could someone get out from a volcano alive?
Not A. - Nobody would want to be thrown back in the volcano knowing what's inside there. They already have enough diamonds to keep, enough to make them rich so why go back?
Not B. - Telling the Italians where they came from wouldn't scare them, it would make them curious instead.
Not C. - The Italians would never think these normal-looking beings as demons. Demons in their perspective look like monsters and would just immediately appear in front of anyone, not through a volcano's vent.