This is far outside my academic expertise and I hope that someone with better knowledge of the subject can deliver a more comprehensive response to replace this one. However, for moral reasons, I don't want to leave this question unanswered, since this is the kind of issue that I've seen Holocaust deniers latch onto as a way of minimising the severity of the Nazi pogroms (although I am not accusing you, OP, of being a denier - just that people acting in bad faith might want to exploit this as an opportunity).

The short answer is that emigration was not an option available to many European Jews. The pre-war USA had a system of quotas for visas which could be allocated to any given country, and once these quotas were filled, no further visas could be issued to individuals from these countries and you'd be put on a waiting list for one. Between 1939 and 1941, more than 300,000 Germans were on the waiting list for a visa. Visa applicants needed a number of expensive documents for their application and needed an American 'sponsor' who could support them financially when they came to the US. Many in the US opposed increasing quotas even after Kristallnacht, and opinion polls even as late as 1939 showed the majority of Americans opposing the acceptance of more European refugees - in fact, many Americans even feared that Jewish refugees might constitute a 'fifth column' within American society that could undermine the war effort. There were similar barriers to immigration in many other countries at the time that hindered the flight of Jewish refugees. Fleeing Nazi persecution through emigration was, essentially, an option only for the wealthiest and those with existing connections abroad.

Source and more info: the Holocaust Encyclopedia, run by the United States Holocaust Memorial Museum