There are plenty of examples in history, depending on what your definition of a battle and walking away is.

There are plenty of sieges that have ended with the attacking side deciding that it is not worth the effort, or that the troops were better needed elsewhere - the siege of Castle Dunbar in Scotland 1338 comes to mind, where the Earl of Salisbury tried to force his way inside and 'Black' Agnes Randolph, Countess of Dunbar led the defences. After five months of failed attempts, the Earl is said to have said 'Came I early, came I late, I found Agnes at the Gate' and lifted the siege, marching off with his army.

There are also plenty of occasions when an army wisely or unwisely chooses to not engage an enemy force - due to strategic concerns, tactical situation or other reasons. After the Battle of Lund 1676 during the Scanian war, the Swedish army pursued the retreating Danish army to Landskrona, but broke off the pursuit and retreated back to their own supply lines. After receiving reinforcements, the Swedish army once again marched towards Landskrona and dug field fortifications. The Danish army marched up, but fearing a trap from the much smaller Swedish army, it declined to engage and the whole thing descended into small skirmishes as the Swedish army retreated and forward patrols of the Danish army attempted to keep in contact.

So, what you refer to has happened dozens, if not hundreds of times - sieges lifted, defensive positions not assaulted as too strong, enemy armies considered to strong or a trap suspected. Seeking to outmanouvre the enemy force or get into a better position, or retreat to await supplies and reinforcements would be common scenarios.

Now, if a battle has started, and one side suddenly decides to disengage, the other will almost certainly pursue and a running battle will ensue.