They didn't want to live like that. It's one of the things Jared Diamond argues in Collapse: sure, they could have survived longer in Greenland if they adopted more of the customs of the Inuit, but this went against everything they considered important and valuable in life. They wouldn't be themselves any more if they did (and for all we know, a few of them may have been assimilated into the native population and stopped being Norse in any sense recognizable to us).

Not least of all, Leif Eriksson was a Christian, a Catholic in modern terms. It's reasonable to assume most of his followers were, too. He had gained the epithet "the lucky" due to his habit of coming across and rescuing castaways at sea. To the Norse, luck was evidence the cosmos was on your side, and one of the most important attributes a leader offered to potential followers was a share in this cosmic luck. This probably helped Leif the missionary securing a lot of conversions!

But the heart of Christianity at the time was in Rome. They were already profoundly cut off from the mystical fellowship of believers, the communion. How much worse wouldn't it be for their sense of self if they were not only to go off in an impossibly distant land, but to live as the savages there?