They can. If people wanted to, they could build a spaceship, and set off for any part of the Milky Way that they wanted to.
However, it would take many generations to get there. For those generations along the way, their entire life would be just living on the spaceship. This would get boring pretty quickly. I don’t think anyone would volunteer for that. Would you?
Its a long way so would take a long time. The Voyager space craft are the furthest man-made object from earth and have been flying for over 30 years. They will take another 40,000 years to get close to another star. Space… its very big!
We are already part of the Milky Way, but even travelling to Mars would be a huge technological undertaking (ignoring the cost!). Interstellar travel would be feasible (well, not with the current propulsion technology), but it would require many generations of the humans on board — so the people who leave the Earth would be long dead by the time their ancestors reached the destination.