The thought certainly occurred to him, heck, he actually kind of wanted to go south! The problem is, he wanted the court's full approval before actually committing to the act. If he was fully committed to go south, he could have overruled all his ministers or even sneak out of the Forbidden Palace - after all, his predecessors had done both of these and the ministers ultimately couldn't stop the emperor. The fact that he actually sought the court's opinion on the matter shows that he himself wasn't sure whether to leave Beijing or not.
Let's set the stage. The year is 1644, and the Ming dynasty is on its death throes. The Manchus were assembled right at the foot of the Great Wall to the north, but a more imminent threat lies in Li Zicheng, who was leading the rebel Shun army from the south. The Ming had lost public support: a hastily assembled ragtag army sent to counter the rebels could only get food from the locals by pretending to be the Shun army, and some cities even refused to open the gates for the imperial army! In such times of desperation, the Chongzhen emperor asked for the court's opinion, and they came up with three potential solutions:
The first was to have the emperor lead an army to drive back the rebels. It was hoped that His Imperial Presence on the field would inspire the gentry to rally their militia to come to the emperor's aid. Putting aside the fact that Chongzhen did not even know how to ride a horse, let alone command an army, the plan itself wasn't very realistic.
The second plan was to have the emperor and his entourage make their way to Nanjing, where support for the Ming is stronger. This plan had precedent: the Song dynasty retreated south when their capital Kaifeng fell to the Jurchens, and the Ming could emulate the Song in order to survive. This would mean abandoning the north to the rebels and the Manchus, and the northerners with their landed interests would not agree to this.
Finally, as a compromise, it was suggested that the crown prince be sent to the south while the emperor stays in Beijing - the implication was that if anything untoward happens to the emperor in Beijing, the regime can continue in Nanjing. Put even more bluntly, the proposal challenges the emperor to sacrifice himself for the good of the empire! Chongzhen, realizing this, declared that he would not leave the capital and would die defending the Ming's altars, but he also could not refrain from bitterly voicing his displeasure that his officials were so ready to have him live in shame. This silenced the ministers, and the plan was quickly dropped. Chongzhen, despite secretly wanting to go south, was now stuck in the north and can do no more than sulk.
Later, when the Shun army entered Beijing, the Chongzhen emperor massacred his wives and daughters with his own sword then went out the northern gate to hang himself off a tree. The crown prince was sent out of the capital, never to be heard from again.
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