There isn't really enough to help link the character to the background. You've gotten the Pen Tool lines happening around the place, which looks cool, but it doesn't feel like that is enough.
I think some work needs to be done around the character to blend it into the background. The Smudge brush, normal brush and blending modes can help you along with this. Even some clipping masks would look good. It's just adds some more detail for the viewer to look at, rather than glance at it, and thinking, "Is there more?" or "I would like to see more."