That might be true if he was a Roman citizen, but he wasn't. Like many people today fleeing for their lives to the United States, Jesus was going to be murdered and so Jesus ran away, becoming a refugee
‘Cursed is anyone who withholds justice from the foreigner, the fatherless or the widow.’ Then all the people shall say, ‘Amen!’
Deuteronomy 27:19 (NIV)
He was considered a trouble maker, so they snuffed him out.