Malcolm, being the heir apparent to Duncan's throne, is in mortal danger after Malcolm's murder, so his fleeing Scotland is the only reasonable thing he can do. He knows only that his father has been murdered and the grooms (guards) who presumably committed the murder were conveniently slaughtered by Macbeth's rage. The situation is as fishy as it sounds, and he doesn't know who he can trust.
As Donalbain says, "where we are / There's daggers in men's smiles: the near in blood, / The nearer bloody" (144-6). In other words, the closer the kin (in systems such as this, where blood determines royal succession) the more likely they are to be the enemy. Their best bet was to run (in separate directions), then gather intelligence and an army in order to regain Malcolm's rightful place on the throne.