Depending on the character, you do not want to let them just run away. If you and your opponent are fighting near an edge, you do not want to just let the Falco, D3, Wolf, Fox, Toon Link, Olimar, R.O.B., just run away. That spacing is not favorable to you. If you were already in the center of a stage no larger than FD, and your opponent retreats, I wouldn't really call that running away, but you should still maintain good spacing and pressure. Obviously you shouldn't be recklessly aggressive, but in close range combat, use your range, and defensive tools to continue applying pressure, even on retreating opponents.