Agreed. IME this is usually something that relatively new players do; they need to be taught that some warnings really shouldn't be ignored and their characters are not in fact immortal (at least, not before they reach uber-Epic levels and undergo divine ascension). It's a hard thing to do as a GM, but sometimes it has to be done.
And don't pull punches on the retreat option, either- make sure that the enemy does everything he can think of (and do) to prevent such escape- if the PCs manage to get away, make sure it is through genuine one-in-a-million luck, or extremely clever thinking and tactics. Doing anything less is a disservice to the dungeon and the game. Again, this is a hard thing to do as GM, but sometimes necessary.
And don't pull punches on the retreat option, either- make sure that the enemy does everything he can think of (and do) to prevent such escape- if the PCs manage to get away, make sure it is through genuine one-in-a-million luck, or extremely clever thinking and tactics. Doing anything less is a disservice to the dungeon and the game. Again, this is a hard thing to do as GM, but sometimes necessary.