Yes, to each his own. I couldn't stand a game where retreat was never an option--it means that either (1) your DM is being a metagaming jerk, or (2) the party has done something in-character to really, really, annoy the lich, or (3) the players are idiots and have no retreat capability.
5E is D&D: Mobile Edition, and any party should be able to easily retreat from a bunch of Magma Mephits with 30' movement. If nothing else, Dash away for a few minutes and then kill them. Now the next batch of mephits will have a tougher time catching up to you unless the lich babysits them, and you may be able to reach wherever you left your horses. Once you're on your horses you are home free with 60' movement and free Dashes--the mephits will never catch up.
Edit: and of course high-level adventurers have more options including Teleport.
It would be cheesy to me as a DM if the lich always pursued the party to the death. Whatever it is that's bringing him into conflict with the PCs is likely to be resolved when they just leave. The exception would be if he were actively seeking them out for some reason because he wants their bodies to use in experiments or something; in that case they're pretty much toast. Not that that couldn't be a great plot-hook, it's just that a lich proactively seeking you out is scary. In that case I advise you to change your name and appearance (Reincarnation?) and learn to never mention your past.

You can't handle the lich.