This seems as though it might be learned behavior, perhaps from campaigns where there was one and only one path the PCs were expected and allowed to take past obstacles. I guess maybe you could get them to believe you weren't running such a campaign if, early on, you flat-out told them so. Suggested they look around for other approaches, and had those other approaches work.I tend to find the problem isn't "The players fail, and now they have nowhere to go."
It's "The players fail, and there are potential other ways to go, but they assume failure means it's pointless to continue and go do something else entirely."
Example: The Rogue fails to pick the lock, but there are high windows that the party could - at greater risk! - climb to.
But the players assume "Huh. I guess we aren't supposed to get into the tower. We bail on rescuing the princess, lets go kill some kobolds."
My own approach to obstacles is to make sure I see a way past them, but not to lock myself into that being the only way past them. I strongly prefer the experience of the players' doing something I didn't anticipate, to the players' behaving exactly as I expected. But that's probably a little astray of the topic.