User blog comment:FairyRaven/Fairy Tail Chapter 375: The Supernatural, Review and Commentary/@comment-24546844-20140315011921/@comment-7418318-20140315092023

Lucy and Happy already tried to escape from Franmalth once and didn't manage despite Happy flying faster than Natsu can run, so retreating wouldn't have worked. On top of that Natsu already had a taste of the Demon's absorbtion ability and barely escaped it thanks to Happy biting down on the arm.

Turning his back on Franmalth in that situation would have been like begging the Demon to absorb him, so retreat was no realistic option for Natsu.