She went straight to him.
Pete Davidson has been having an intense couple of months. After he started dating Ariana Grande (eventually getting engaged and then breaking up) he was thrust into worldwide fame and, with it, the scrutiny of millions.
Since their breakup, he's received plenty of internet abuse which he tried at first to ignore but eventually responded to in an Instagram post: "I just want you guys to know. No matter how hard the internet or anyone tries to make me kill myself. I won't. I'm upset I even have to say this." The internet doesn't always bring out the best in people in these kinds of situations and so a few days ago, Davidson posted a worrying Instagram photo, which he then deleted: "I really don't want to be on this earth anymore. i'm doing my best to stay here for you but i actually don't know how much longer i can last. All i've ever tried to do was help people. just remember i told you so.”
Although the "you" could be referring to people in general, Davidson's fans, or a family member, Ariana Grande apparently took it to be about her and rushed to see Davidson at 30 Rock. However, when she got there he didn't want to see her, perhaps because of her disparaging remarks to Kanye West which Davidson was "disgusted" by.