Because they are brought to a subdimension within camp, a form of 'world within the world', and unless they do not play by the rules of the game they are not allowed to go back.

Of course, all who 'die' are resurrected at the end of the game. The first time it happened it was simply their minds who died, and the bodies of the losers fell into a coma. But recently the game happened again, and this time... those who died were killed.