On his way home from the Diet of Worms Frederick III of Saxony had men "kidnap" Martin Luther and take him to a secure location known as Wartburg castle. Luther was kept under an assumed name, safe from Imperial authorities.

As for why they didn't execute him at the Diet of Worms. Well part of the reason Luther came to the diet of Worms in the first place is that he was promised safe passage to and from the Diet in exchange for sharing his views with the Emperor and agreeing to go on trial.