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There really were not any settlements to run away to. Hester had no money and a baby to care for. There was nothing to help Hester survive but the immediate charity of the town and subsequent money she could make from her sewing. Hester also loved Dimmesdale, the father of Pearl and didn't want to leave him.
The most obvious answer is that she is a woman on her own, and even though the people of her town really do not want her, she is at least "at home" in this settlement. Certainly, another part of this story is focused on the fact that she is still in love with Dimmesdale and that she wants to be near him. Further, he is the father of her child, Pearl, and at some point she probably hopes, as do most women, that he will want to be a part of their lives.