There is nothing wrong with PCs having cool powers. There is nothing wrong with teleportation. If you want to make the PCs sweat, worry, and feel like the world is coming down on them, then make the world come down on them. It's more exciting to make consequenses for them running away, leave them with a failrure, time-tables, guarding places, dealing with others who they can't just walk away from, and things of that nature.
There's an army amassing outside where they live. Sure, they can run.
A prince has asked them to guard a new holding from raiders. Sure, they can run.
The lich will open a portal to the negative energy plane in three days. Sure, they can run.
They'll soon learn not to, however.
Now, for claustrophobia, for an adventure where they feel dogged, etc, you can still build upon their paranoia without teleport ruining anything. Make them have to stay in the area. Make them want to stay, in fact, despite the danger that is brought upon them by remaining. That should make them feel even more pressed by the adventure, because they know they could get away if they really tried, but they can't because there would be consequenses. So they soldier on, despite the hardships pressed upon them.
Use NPCs to your advantage. Make sure they know that not everyone is trustworthy, but they don't know who is the one selling them out. But, they have to rely on others to suceed at whatever they're trying to do. That way, you can build into the plot the paranoia that they feel as they try to figure out who to trust and who not to.
At high levels, a good way to keep PCs interested in a place is to give them some kind of responsibility toward it. Land ownership, granted titles, religious affiliations, etc. I'm soon going to make an NPC who my PCs adventured with a lot at lower levels into Captain of the Guard of a city they frequent. They owe her, she owes them, it will lead to even stronger ties to the location. As PCs rise in levels, their responsibility goes up as well. They can't just run away from their problems without losing respect, power, and possibly making enemies out of friends.
High level games have to go more and more into the political. At low levels, you can challenge them with mundane things that normal people would fear. Hunger, canyons, rivers, bandits. At higher levels, you just can't do that anymore unless you're just interested in bigger numbers. Plots have to get more complicated. Murder mysteries won't work, dungeon become less exotic, and PCs will never trip over their own feet. In order to keep a campaign really moving, it is best to plan with these things in mind.