I believe it is what they were fated to do based on their visions, and they could not deviate from their plans. They wanted to save the world. If the horsemen just walked away, they believed that humanity would die. >!Each of them (except for maybe Redmond) had loved ones they were trying to get back to or at least save)!<. It's alluded to (and assumed) that the disasters were on a set schedule and were not going to be stopped without a sacrifice. Their deaths were symbolic and to push the choice that Andrew and Eric were required to make. If the couple had made the choice to sacrifice at the beginning, or before >!Leonard's death!<, then one or more horsemen would have survived.