Because they are able to make significantly more money if they stay?
Also because they're their home countries. It's what they know and where their friends/family are.
And if you're rich enough that you can afford pretty much anything there, why would you move?
His wealth was connected to the patronage of the hardline Iranian government and his willingness and ability to help them evade international sanctions. In that, he's a bit like the Chechen operators who murdered Nemtsov and didn't bother to cover their tracks because they assumed they were protected by the Kremlin.
How did you club Turkey in there?
Turkey has a semi-dictatorship these days, no?
Erdogan has been cleaning house arresting and harassing journalists, judges, generals, and businessmen for years now.