They will have the maturity you obviously lack and give you an explanation.
A few simple answers:
1. Many did, especially those who could afford to. 2. Many tried, and were stopped by the Nazi regime- the emigration doors closed in the late 30's. 3. Many were refused exit visas to the US,UK, Australia and Palestine. 4. Many feared emigrating Eastwards under the threat of the Russians. 5. Many Jews simply hoped it would pass, bearing in mind that the actual Final Solution did not begin in earnest until the Second World War actually started, and the death camps didn't get into their stride until at least 1941.
All the above applies mainly to the German and Austrian Jews. The Polish Jews were OK until Hitler invaded them at which point they had no choice at all. Likewise, the Jews in Russia, who weren't that well treated before but had faced nothing like the Nazis.
Alos, your question is not really that different to asking why a lot of posters hang on to stocks that are going down. The reasons are just the same - inertia, hope that things will get better, fear of taking a loss etc etc.
