Because in a lucid dream, you are interacting directly with your subconscious. This can be really useful if you're trying to heal yourself emotionally, figure out the answer to a problem, etc. E.g. you can ask "Why am I constantly getting sick?" and your subconscious may have an answer that you just aren't aware of consciously (I recently had this experience).

It is true that some people think they enjoy the dream world more than real life, and I think that may be what you're referring to. That really is sad - of course we've all had times when we say, "Why can't the waking world be like this? It would really really cool to fly, you know."

But if we can't see the pleasure or value of the waking world, that means we need to make some major changes in our lives. I guess you could use that feeling of "needing to withdraw" as an indicator that something is wrong in your life, and you need to sit down and think about how to fix it. Nothing is more important than our lives in the here and now.