Part of the answer is that Dale had indicated that he would not have wanted to leave Twin Peaks, but that is his business, and it is not the whole of the answer in any case.

Moiraine says,

"It is a little more complicated than that. For one thing, I am still able to travel between the worlds, and when there is a particular need, those who are aware of how to reach me may do so, and I will assist if I can. As I said before, I do not do well with enforced idleness."

A small smile curves her lips, then.

"But I do think that all things considered, it is a better choice for the two of us to have remained in Twin Peaks than to have settled anywhere in the world in which I was born."