Backstory and Setting
I'm forging a story that starts with our protagonists living in an absolutely awful urban location. Think near-post industrial revolution, without the regulations that eventually formed in order to protect workers, the public, and the environment. The boom of industrial and mining activity had created a ton of work, with citizens flocking and cramming into the city. A sudden leap forward in (crude but effective) automation technology has not only amplified the side effects of this industrial epicenter, but also dissolved many if not all of jobs.
The city is massive, without any real infrastructure. I have yet to finalize a government, though I'm leaning towards a small dysfunctional outfit where the elusive upper class ultimately has more power anyway. The city is geographically isolated from its surroundings, not impossible to pass but difficult. All of this has effectively seeded a new sub culture, with a unique communication method (for the purpose of this discussion we'll call it a new sub language), social codes, etc.
But there is hope: Our protagonists eventually decide to embark on the journey to leave the city for greener pastures.
What Lead to the Question
While trying to develop our protagonists motives for leaving I hit a wall: reasons to leave were abundant and obvious, but reasons why anyone (and everyone) would stay were much more difficult for me to grasp.
I started trying to imagine why anyone in this city would stay and was getting nowhere. I then started thinking about why people stay in the various locations around that world that, from my perspective, seem miserable or even life threatening. War torn nations without governments, areas with wide spread famine or barren lands, and oppressive dictatorships all harbor massive populations all over the world, and I can't seem to rationalize why.
I admit that I have a bias here - I can't imagine even living in a nice american city because of the cramped conditions and lack of freedoms. This bias is strong enough that its making it difficult for me to focus on a single reason for the protagonists to leave, as I'm blinded by just not wanting to be in the scenario at all.
Also, please don't take this as me being ignorant. I understand there are serious economical, physical, and psychological factors at play here that I respect, and I'm just looking for some insight. This will not only help me develop the people in this city, but also the protagonists journey out.
Before You Answer
Not having the money needed to leave, while entirely valid and the most likely cause, doesn't entirely convince my rationalizing, uninformed brain all by itself. My brain says in that scenario I'd have enough drive to overcome any economic barriers in order to bail, and I'd genuinely like you to tell me why I'm wrong.
This doesn't necessarily need to pertain to the most extreme cases - I see other countries around that world that aren't well off, but maybe still called third world or "developing". Are the reasons similar for these cases?
**EDIT** June 2nd 2016
Thank you everyone for the awesome points! I've accepted an answer but if there is more to add please keep the discussion going.