It's largely the comfort and familiarity. Yeah you could walk away, but there's so much risk. So back to your stationary bike to make little pellet things for some reason, eating food out of a vending machine, while watching reality TV and decorating your virtual avatars using Merits you've earned at your job of dubious actual value, anxious always that you'll fall down a rung on the social ladder (while, of course, mocking those who have).

[EDIT] at least as the episode depicts it, which is very much a slice from a range of middle-ish class perspectives. Fussellian middle-class anxiety certainly appears (though not the full scope of it) and perhaps is most prominent, but there's more going on than just that. The episode's not trying to be about everyone, I don't think.

[EDIT EDIT] I think the key components of that episode are that 1) the system they live in is starkly meaningless, divorced from anything recognizable as value in practically any ordinary sense and in almost every single action they take, 2) nothing like a jack-booted thug, even broadly, ever features—the closest thing we get is "cuppliance" which is bad, sure, but given how passive it is and in the context of the rest of the episode, reads almost like an escape hatch for the writer rather than an intentional part of the thrust of the story, 3) an attempt at actual rebellion at the system is smoothly and efficiently coopted by the system—some clear ironic self-criticism from Brooker, that—and 4) our final shot reveals that they may well be able to just walk away any time they like.

(some people like to wonder whether the windows at the end are real or screens, but between what precisely they depict, which is not some remarkable vista or wilderness but a fairly ordinary one, and the context of the rest of the episode, I don't think there's a ton of ambiguity there)