Dimmesdale decides to run away to Europe with Hester and Pearl because he wants to continue his ministry as a new person. In Europe he can start over without anyone knowing who he is or what he did. But if he were to run into the woods it would be harder to continue his ministry due to the fact that only native Americans inhabit them, so there are language and cultural barriers he would have to overcome. Also there is always the chance that someone would recognise him, travel isn't easy in the Americas at this time so he wouldn't be able to get as far in the woods as he would in Europe.