Because slave did not become free when taken into a free state.
Slave to Free. Before the general emancipation of American slaves during the Civil War, many secured their own freedom through escape, self-purchase, or being freed by the slaveholder. The conditions of former slave and freeman did not occur simultaneously for many slaves, psychologically or in reality. Runaways who arrived in free territory were fugitives with an ambiguous status for weeks or years, especially after the passage of the Fugitive Slave Act in 1850. In the history of slavery in the United States,  fugitive slaves  (also known as runaway slaves) were slaves who left their master and traveled without authorization; generally they tried to reach states or territories where slavery was banned, including Canada. The Underground Railroad was a network of black and white abolitionists between 1816 and the end of the Civil War who helped fugitive slaves escape to freedom. Members of the Religious Society of Friends (Quakers), Baptists, Methodists and other religious sects helped in operating the Underground Railroad. Because of this, fugitive slaves tried to leave the United States altogether, traveling to Canada or Mexico. During the time slavery was legal in the United States, approximately 100,000 slaves escaped to freedom. The Underground Railroad was a network of black and white abolitionists between 1816 and the end of the Civil War who helped fugitive slaves escape to freedom. Members of the Religious Society of Friends (Quakers), Baptists, Methodists and other religious sects helped in operating the Underground Railroad. Socially, the Civil War emancipated the blacks which gave them a sense of freedom but there was still racial discrimination, and most of them were poor. After it all it ended being mostly the same that the 1% rich landowners controlled everything. Economically, the Civil War devastated the South. They used up all their resources fighting in the war. Many many people went into debt. The crop-lien system was started which kept people in even more debt. Beside the 1% landowners and merchants most people were poor and in debt. Slavery in the United States was the legal institution of human chattel slavery that existed in the United States of America in the 18th and 19th centuries after it gained independence and before the end of the American Civil War. The 1857 decision, decided 7–2, held that a slave did not become free when taken into a free state; Congress could not bar slavery from a territory; and people of African descent imported into the United States and held as slaves, or their descendants, could not be citizens. While objections to the legal subjugation of blacks existed before, it was not until the Revolutionary War, when the great paradox of slavery's prominence in a nation fighting for its freedom emerged, that opposition to slavery transformed into wide-spread, impassioned action.  Many white southerners refused to accept former slaves as free persons.The state of Tennessee provides a particularly rich case study of the transition from slavery to freedom during the Civil War and Reconstruction. By war’s end, more than 20,000 Tennesseans had joined the United States Colored Troops (USCT); only two states furnished more black men to the Union war effort. African Americans eventually made up forty percent of Tennessee’s Union troops. In spite of the issuance of the Emancipation Proclamation and the adoption of the Thirteenth Amendment to the United States Constitution, the road to freedom remained elusive for most former slaves in the United States. The 1857 decision, decided 7–2, held that a slave did not become free when taken into a free state; Congress could not bar slavery from a territory; and people of African descent imported into the United States and held as slaves, or their descendants, could not be citizens. Most white northerners were reticent to embrace these demands in 1865. Within two years white southern intransigence, African American appeals, and political necessity convinced many northern Republicans that extending citizenship to former slaves was a prerequisite for the restoration of the Union.
http://www.nationalhumanitiescenter.org/pds/maai/identity/text2/text2read.htm https://en.wikipedia.org/wiki/Fugitive_slaves_in_the_United_States https://en.wikipedia.org/wiki/Fugitive_slaves_in_the_United_States https://quizlet.com/26348568/history-chapter-15-flash-cards/ https://en.wikipedia.org/wiki/History_of_slavery_in_the_United_States http://www.pbs.org/wnet/slavery/experience/legal/history2.html http://www.tn4me.org/pdf/TransitionfromSlaverytoFreedom.pdf https://en.wikipedia.org/wiki/History_of_slavery_in_the_United_States http://nationalhumanitiescenter.org/tserve/freedom/1865-1917/essays/reconstruction.htm
Why did many slaves travel immediately after gaining freedom