Many are promised something that does not exist, go through lot of danger only to discover that they were better off where they started. But now, they can't go back.
_Most_ immigrants, like other humans, have a sense of self respect. I bet most of them prefer to stay in their own country even if the situation is worse than Europe if they know they won’t randomly get killed tomorrow.
That being said, of course, there are a group who abuse the system.
Edit: Corrected a statement in the first sentence to be more accurate.
There are ample social services and NGO help in the EU that immigrants can take advantage of. Such programs don’t exist in most ME/African countries. Ironically, Norway and other Scandinavian countries do have these programs as well as stable economies.