can the others leave the island why do they keep coming back to the island?

they live on the island in a secured Von a fence, they took it over from the DHARMA Initiative that used it for their experiments with electromagnets

Because they like the island , want to find an answer to lots of questions( including why women die while pregnant)and want to generally protect it from people like Charles widmoore because the island is special ,also because Jacob told them too and he is the ultimate leader.