In episode 1 of Attack on Titan 2,
Miche managed to use himself as bait and killed most of the titans. What is the point of running away knowing that Titans can sprint and could possibly catch up with his horse? And the presence of the abnormal monkey-like Titan would make the situation more dangerous and unpredictable if I was him and I wanted to run away.
Edit: As he is the second-most skilled after Levi, he should have just killed all the Titans in his presence except the abnormal one without hesitation. Then even if the abnormal Titan had thrown the horse towards him he would not need to suffer a painful death.