Or at least some did, well 50,000 did. Cyrus decreed that the children of Israel should return to their homeland and re-establish the temple. This was after 50 years in captivity, but only 50,000 returned to Israel, so a good number of Jews stayed in the Babylon and Persia. While it would be easy to fault those that stayed for their lack of faith our Sunday School class upon further reflection concluded several things about those that stayed behind in Babylon and Persia.
There was no command from God that they go, so they were not disobedient. Most would have been born or had spent the majority of their lives in Babylon and Persia. They would not have had any emotional connection to the promise land and they had full lives in Babylon and Persia. We were pretty sure that the Jews did not feel that this was so much captivity any more, but that it was their home. After all most probably had gone to middle and high school in the same town in which they currently lived ;).
And a number of years later after Ezra and Nehemiah return to rebuild the temple, Haman attempted to destroy Mordecai, God uses both Esther and Xerxes to deliver the Jews from Haman’s plot, showing that God still cared for His people the Jews. This deliverance occurred even though these Jews had stayed in Babylon/Persia.
We are always his children no matter where we are, no matter where we live. God’s grace reaches everywhere.