The other night I watched The Free State of Jones and it mentions a statistic about how many thousands of emancipated slaves were killed by the KKK in just the few years following Emancipation. Why wasn't there a mass migration north, to where they were more likely to be treated better? I know it's not a simple "pack your stuff and go" kind of thing, but there are ways to make it happen, forming caravans, etc. Staying in the former Confederate states after the war seems like hell.
I don't want this to be seen as a comprehensive answer, but a few points to consider:
Black Americans were not necessarily likely to be treated better in Northern (ie former free) states, at least in the sense that there were strong sentiments in many of these states against extending civil rights and even residency to blacks. Of all free states, only Massachusetts, Maine, New Hampshire and Vermont never legally removed the right to vote from black males. Segregation and mob violence against blacks did occur, notably in Philadelphia, and states in the Old Northwest/Midwest had even stronger restrictions against black residency: Indiana banned free blacks from residing in the state, Illinois severely restricted them, and Ohio only allowed them to live in-state with a certificate of free status and $500 bond. Which is to say that the free states, while coming around to anti-slavery, did not associate that political position with extending civil and political rights to resident black Americans, even after the Civil War. Much of the white populations in this state would have looked upon mass black migration with strong hostility (as occurred with the Great Migration some half century later).
In demographic terms, not only were some 90% of black Americans living in the South after the Civil War, but in many of the Southern states they lived in, they were either nearly half of the total population (as in Georgia, Florida, and Alabama), or an outright majority (as in South Carolina, Louisiana and Mississippi). Which is to say that part of why Reconstruction was a violent de facto civil war was specifically to prevent the majority populations in these states from exercising their strength in numbers through democracy to develop their communities. The historian Isabel Wilkerson in Warmth of Other Suns has mused that ironically part of the national and Southern regional turn among white Americans towards more acceptance of black civil rights is that because of the Great Migration, black Americans were no longer a majority in any state by the 1960s.
There had historically been debates over black emigration, both among black leaders, and very prominently among white Americans supporting such projects as transporting black Americans to Liberia (via the American Colonization Society). By Emancipation these projects basically were no longer considered realistic, or very popular or desirable among black leaders, especially Frederick Douglass who argued strongly against it, and for the "full and complete adoption" of black Americans "into the great national family of America".
A final note is that fair numbers of black Americans did leave the South for the West, as described in this answer by u/The_Alaskan. However, even there often there were many, many restrictions and obstacles put in place against nonwhite populations, as discussed in this answer by u/itsallfolklore.