You can check /u/textandtrowel's answer to What stopped the viking colonization of america? in FAQ section at first, and I also wrote it briefly in Did the Scandinavian people know about Vinland?, What knowledge did mainland Europeans have of Iceland, Greenland and Vinland during the Middle Ages? and so on.

The following is essentially just a summary of my comment listed above (as for more details as well as relevant literature, please also check these ones):

• The explorers who had occupied L'Anse aux Meadows in Newfoundland, the only officially confirmed Norse site in the New World, seems to have decided to abandon their attempt to settle in this westernmost (from their point of view) land permanently within a generation voluntarily, or at least without any sudden critical event. No disorder can be attested from the little amount of archaeological remains in that site, that means that the settlers left the site after packed almost every important things neatly. After this initial abandonment no second serious try to explore in the new world at least in comparable scale with the first one in L'Anse aux Meadows seems to have been done, though a recent scientific paper suggests that some Norse people might have indeed occupied this place again in the later 11th century albeit very briefly (i.e. temporary).
• Comparison with the settlement(s) in Norse Greenland that endured ca. 980 to the beginning of the 15th century will shed some light to this apparent mystery, I suppose: On contrary to general assumption that the Vikings navigated far and wide at least partly to seek after the new land to settle in and to cultivate crops, Greenland where the climate was colder and not suitable for agriculture than alleged Vinland, or even L'Anse aux Meadows (supposedly regarded as a kind of 'base camp' for further explorations in the west and south), was probably indeed regarded as more favorable from the point of view of the Norse people around the end of the first millennium. Their seasonal livelihood consists not only of farming an herding, but also also of hunting activity of arctic animals, such as walrus, seals, and gyrfalcons, and trading exotic products (or living gyrfalcons) with the mainland Europeans. This kind of trading with mainland Europe (as well as the Scandinavians) could be very profitable, and we can surmise that the trading with external world became an important part to medieval Norse Greenlandic economy. The new world (at least in most places) did not have good access to such exotic arctic animals, and is located far more distant to the European market even than Greenlandic colonies.