There is a famous story (mentioned in his wikipedia article) that R' Elchonon Wasserman visited the United States before the war. He had the option to stay, but he refused since (as I heard) "A leader doesn't abandon his flock".
He went back to Lithuania and was killed by the Nazis during the Holocaust with his students.
Even though one could say that he didn't know how bad the Holocaust would be, he undoubtedly knew that his life would be in greater danger in Europe than in America.
Given the principle that "Chayecha Kodmin" - one must save one's life before someone else's (and even more so here, that he wouldn't be able to do anything in Lithuania to save his students), what Halachik right did he have to go back to Europe?