Judah had clearly gotten themselves into a real mess, and as we read through the Tanakh one of the recurrent issues is that the people have forgotten what YHWH has done for them, and so this is rediscovered repeatedly from generation to generation. Jeremiah himself has been rediscoveringappears to have rediscovered much of this during his ministry as well.
Aside from the reasons outlined above, we must bear in mind that the whole point of the Exile was to teach Judah/Israel to trust in YHWH alone the whole point of the Exile was to teach Judah/Israel to trust in YHWH alone - just as their ancestors learned during the Exodus. In one sense it's a replay of Numbers 14:4 where the people were on the brink of returning to Egypt rather than trust YHWH to enter the land, and YHWH threatened to destroy the entire community with a plague.
"Do not listen to them. Surrender to the king of Babylon, and you will live. Why should this whole city be destroyed?" Jeremiah 27:17 NLT
Conclusion: Rejecting YHWH's plan
In response to Jeremiah's message, the people confirm their reading of the situation:
Azariah son of Hoshaiah and Johanan son of Kareah and all the arrogant men said to Jeremiah, “You are lying! The Lord our God has not sent you to say, ‘You must not go to Egypt to settle there.’ But Baruch son of Neriah is inciting you against us to hand us over to the Babylonians, so they may kill us or carry us into exile to Babylon.” Jeremiah 43:2-3 NIV
The people are not choosing an alternative path of Exile, but rather opting out of the Exile itself, and rejecting YHWH's word which gave them clear instruction of how to obey him and where he intended to build and strengthen them.
They reject the Exile itself which YHWH repeatedly proclaimed and explained through Jeremiah, rejecting his promises to build them up and not tear them down in the land (Jer 32:10) and dispersing the people YHWH had already regathered to Jerusalem, returning to their familiar cisterns:
"So Johanan son of Kareah and all the army officers and all the people disobeyed the Lord’s command to stay in the land of Judah. Instead, Johanan son of Kareah and all the army officers led away all the remnant of Judah who had come back to live in the land of Judah from all the nations where they had been scattered." Jeremiah 43:4-5 NIV
After they depart, the consequences begin to crystalize in Jeremiah 44, where YHWH continues to spell out the consequences of returning to Egypt and explain why it really wasn't a very good idea in the first place, for anybody interested in further reading.