Having been through such a challenge in a relatively recent encounter, I can certainly understand not wanting to run away. Against a dragon, we had the choice of fighting or running away. We ended up choosing to fight, though there were also those at the table to wanted to run.
Part of it is the flash and spectacle. You finally get to fight something crazy like a dragon. How could you not jump at that? Even if, realistically, you should definitely be running.
But once the battle is joined, there's basically no way to run. The dragon can easily outpace anyone in the party (plus legendary actions make that beyond trivial), and has its dragon breath to torch anyone trying to run away.
In addition, this came right after a long run of sneaking through dungeons, where we had to constantly play it careful. The opportunity to just let loose was very freeing. Having to run and hide again at this point would be rather frustrating.
Having said that, I'm inclined to think that the best way to get players in the mindset that running away is an option is to make sure that it's used liberally by the enemy as well. If the enemy creatures always fight to the death, it's clear that that's the "framing" of how combat works in the game. Players will naturally fall into the same mindset.
Someone's earlier suggestion that there needs to be more lead-up to the fight seems like it could be useful in setting the mood as well. If there's a lot of smack talk before the fight starts, where people have time to scope each other out, and figure out who wants to fight and who wants to run, it feels more like emotions can help drive people's actions, rather than pure mechanics.
Edit: Oh, and definitely need more dynamic movement to make it feel like you can run, rather than death of a thousand cuts from the turn-based movement system.