It's not you. There are a lot of people who would rather stay, I think. They don't all get that choice, but it's certainly a valid wish. This world isn't perfect by any means, but if your old world is completely horrible, then I would say it makes sense to want to stay.

[And he's guessing... Mika and Yuu's world is a complete shithole, based on the little information he has.]

They're -- monsters. They're made of darkness, rather than being anything approaching normal creatures. That thing can destroy them permanently, where anything else will just banish them temporarily and then reappear elswhere.