See here and here for information about the Rothschilds specifically. Many of them left the country pre-war.

Incidentally, that's what a lot of German Jews did. Despite difficulties in immigrating to other countries, the German Jewish population declined substantially pre-war.

While not the focus of the piece, there are a few mentions of this in the Rothschild episode of the BBC Series 'The Aristocrats'. It seems that many left beforehand. Those that did not lost much of their assets (if not more) and, while still wealthy, became less prominent.