Lucifer is the protagonist of this series. He chose to leave Hell and refuses to go back, as he tells the angel Amenadiel in the pilot episode:
Amenadiel: Your return to the Underworld has been requested.
Lucifer: Oh, right, okay. Let me just, uh, check my calendar. Yeah, here it is. Uh, the seventh of never through to the 15th of ain't-gonna-happen.
How does that work for you guys? Look, remind Dad that I quit Hell because I was sick and tired of playing a part in his play. (“Pilot”)
Lucifer’s Lucifer is also an angel, although it is revealed in episode seven, “Wingman”, that his angel wings were cut off at his request by the demon Mazikeen. Much like Supernatural’s Lucifer, this Lucifer also does not deny who he is; he is unflinchingly honest about it with everyone, including Detective Chloe Decker. After he witnesses the shooting of his friend Delilah, Chloe interviews Lucifer for information on the shooting. When she asks for his name, he responds honestly:
Lucifer: Lucifer Morningstar.
Chloe: ‘Lucifer Morningstar’? Is that, uh, a stage name or something?
Lucifer: God-given, I'm afraid.