The easiest answer to that question is to simply state that McCandless would rather spend his time alone in nature vs. spending time in civilization and society.
McCandless does not have a high opinion of society, and he is especially critical of governments.
"Hell, no," Alex scoffed. "How I feed myself is none of the government's business. Fuck their stupid rules."
That quote is from chapter one and gives readers an immediate impression of what McCandless thought of society's governmental system. He would even fill out W-4's with fake names and addresses.
McCandless also saw a lot of social injustice in the world, and it bothered him deeply.
"'Chris didn't understand how people could be possibly be allowed to go hungry, especially in this country,' says Billie. 'He would rave about that kind of thing for hours.'"
The fact that he was willing to talk about it for hours shows that he is passionate about the subject. But Chris also put his thoughts to action, and he was known to spend time with the homeless and give them food. He found it disgraceful how society believed that having money meant that you were more valuable as a person. He came from wealth and saw exactly how little honor his own father had when Chris learned of the affair.
Chris simply started to prefer spending time away from all of the government prying and hypocrisy of society that he saw in it. The best place to do that was out in nature where he was only dependent on himself and the gear that he brought with him.