Hi ginnyrose,
I would like to answer your question in three different ways:
1. It seems as if there is a general assumption that persecution is big in Africa. Yes, like this article states, there is persecution in many parts of Africa that cannot be ignored. But as an African, I can testify that it is generally "easier" to be Christian in Africa than in the west. In my experience (and in the experience of many others, including missionaries to Africa), it will cost you more to profess faith in Christ in the US than in most christian regions of the world. Persecution here comes from feminist and homosexual ideologies, atheism, academia, laws that restrict prayer and the mention of God, a culture which has evolved to shun basic principles of morality etc. And with the prevailing perversity, it's even harder to abstain from sin, as sin and indulgence is all around: the billboards, magazine covers at the checkout, and young ladies on the streets all promote sensuality. I do not claim that people are more sinful in one region than in another because the Bible is clear that all men are sinful; but there seems to be more 'openness' to sin in the western world today.
2. If all Christians fled to gospel-friendly places, who would plant churches in the difficult areas and win converts to Christ? Sometimes the Lord will call you to pack your belongings and leave, but sometimes He will call you to go forth as a soldier for Christ. This is how the early missionaries to Africa and other parts of the world (and for whom I am very grateful) managed to establish the gospel in their mission fields. So, it might be that some people do not leave because they feel called by God to face their situations head-on and trust God's faithfulness.
3. On a completely "secular" note, it could be the strong ties that people have with their home countries, or (like a Koheleth mentioned) that the logistics of changing locations make moving an impossibility...
