The short answer: there are many reasons. An attempt to preserve slave labor, attempts to kill all witnesses to massive war crimes, continued pursuit of the "final solution," and after the war, continued violent anti-semitism from local populaces.

If your question is referring specifically to Jews being killed in concentration and/or death camps, then there are a few potential reasons.

Concentration camps toward the eastern front existed as far east as Latvia, Belarus, and Ukraine. As Soviet troops advanced towards Germany proper in the closing of the war, these positions had to be abandoned. It's important to note that the majority of camps were focused on "labor" rather than "killing," by which I mean that the Jews, Gypsies, homosexuals and other victims of the camps in those locations were simply worked to death rather than gassed. The labor from these camps was important to the German war effort and so the loss of this labor would have made the German position even more dire. Therefore, it makes sense that forced marches of thousands of prisoners back towards Germany would have occurred, and they did.

Another motivation: German leadership feared, as they saw the war ending in the Allies' favor, that their crimes would be discovered. Even as early as 1943, Himmler ordered mass graves at Sobibor and Treblinka reopened and the bodies burned to ash, in order to hide that killings had ever occured. (http://www.ushmm.org/wlc/en/article.php?ModuleId=10007273)

Some more fanatical leaders may have also wished to complete the "final solution." Rather than give up the prisoners, massive efforts were made to relocate Jews from one camp to another as the eastern front collapsed. At Auschwitz, prisoners were first shipped west by train, and when that was no longer possible more than sixty thousand prisoners were marched by foot for thirty-five miles to Wodizlaw, where trains were available. At least a quarter of them (15,000) died during the march. During these days the British government also controversially debated whether to bomb Auschwitz, either the rail lines leading toward it or the gas chambers themselves, and then did nothing. (https://www.jewishvirtuallibrary.org/jsource/Holocaust/bombau.html)

At the Stutthof camps in northern Poland, prisoners were marched ten miles to the sea, where the Germans intended to move them by ship. At least 5,000 were driven into the Baltic sea and machine gunned. As Soviet troops surrounded the camp the Germans slaughtered 25,000 more prisoners, at least half the camp's population. In this case, since there was no hope of escaping for these troops, it appears to be, as you suggested, a matter of "taking them down with us."

Finally, it is important to note that even after the war the populations of Europe were massively hostile to returning Jews. The Nazis were able to play upon existing racism against the Jews but the end of the Nazi party was not the end of racism. The most violent episode of this type was the Kielce massacre. On July 3, 1946 (more than a year after the German surrender), at least 42 Jews were brutally murdered with clubs, iron bars, and guns by a mob made up of Polish soldiers, police, and civilians, and at least forty more were violently beaten. To add insult to injury, the local Catholic bishop suggested publicly that the Jews had incited the violence themselves in order to force Britain to give up Palestine, and additionally claimed that Jews were leading an attempted communist takeover of Poland. In the three months after the massacre at least 75,000 holocaust survivors, who had returned home from the camps, fled Poland.

More anecdotally (I believe this story comes from Art Spiegelmann's Maus, which I would argue is a non-fiction memoir, though I don't have my copy on hand), a Jewish Pole was serving in the Polish army as an officer, and was captured by the Germans. He was taken as a prisoner of war rather than sent to a concentration camp, as he did not appear Jewish or have a Jewish name. After the war ended, he returned to his hometown, still wearing his uniform from his imprisonment. He walked into a bar, the local men saw him and raised a toast, saying something like, "A salute to your brave service for Poland, friend, and thank God the Jews are dead!"

Sources:

Fear: Anti-Semitism in Poland after Auschwitz: An Essay in Historical Interpretation, by Jan T. Gross http://press.princeton.edu/titles/8347.html

The Aftermath of the Holocaust, United States Holocaust Memorial Museum. http://www.ushmm.org/wlc/en/article.php?ModuleId=10005129