Aside from the need to escape an unsavory reality, there are plenty of other reasons why Willy Loman has a need to revert to his past in Arthur Miller's Death of a Salesman.
The primary reasons include closure and unfinished businesses. Willy Loman lived his life denying himself the chance to find a niche. A lover of nature, of building, and of creating, Willy forfeits a life of simple satisfaction in favor of chasing after the dream of a man whom he considered great: salesman Dave Singleman. As a result of chasing another man's dream, Willy finds himself in an eternal quest for an American Dream that, in his mind, is based on being well-liked and successful. Being neither liked nor successful, Willy focuses his desperate attempts for success on his son Biff. When Biff also falls into a limbo of self-deception and lack of purpose, Willy has no other choice but to find a place in his life where things could have been better, or where he could have changed something to make his life make sense. This is when his "what ifs" and his memories come into play: to try in a cosmic way to go back and fix everything that has been neglected, or broken.
Another reason is because Willy is a product of the past. At 63, he has very little to show for after a life of traveling and hard work. Having nothing "planted", nor any solid foundation to help his children succeed, Willy has no choice but to use his brain as a vessel that could transport him to the few times in life where he felt in control: the affair with the woman, the Ebbets Field game, the day that they bought the red Chevy, and the time where he got a chance to travel the world with his now late brother, Ben. All the missed opportunities seem to still haunt him tremendously and they are the main cause of his present situation.