Why doesn't anyone return from 2046?
Because of nostalgia?
2046 is that favourite memory of your happiest moments with your true love. Why would anyone want to leave it?
shareWell it's a metaphor for love that you just can't let go of.
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2046 is a metaphor for our lives, which is a collection of our memories (and not the objective reality). There are no other living being on the train, but only androids which are the metaphor of imprints/memories/perceptions of his friends. The director may have wanted to say that each of us live a individual and lonely life, with memories not accessible to anyone else, with memories that are no more than our imprints of our experiences that cannot be the objective reality.
So in the conext of of 2046 as a metaphor of one's memories, there is no escaping and there can be no exit. Chow did accept in the last scene he cannot escape the past, but to embrace it.