Because in most areas you can't do that....you are restricted to school by where you live. That's where your parents pay taxes..so that's the school that money goes to for your education. And nothing can change it except moving.
Besides..who is going to drive you back and forth EVERY DAY....who is going to pay the fees required IF they would even allow it. The next school is going to be a LOT farther away.
That's how it is in the USA... you didn't tell us where you live...all we know is you are likely in an English speaking country somewhere on Earth.
And besides....why do you think its going to be any different at another school? Because it won't be....it will be the same, only the people are different. And you will have every one of the same problems there.
Consider this a lesson in life on of the first....you deal with your problems....you can't run away from them. Winners deal with their problems head on...losers run from them.