Thanks Guys for welcoming me!
@Caya
Holmes was tempted to devote his time to the problems furnished by nature, meaning he wanted to dabble into Chemistry or Botany most likely, if he was freed of and he freed society of Moriarty. I think suicidal tendencies are not very probable, as is the need and want of dragging a confrontation with Moriarty, because suspense/indefinite doubt (In Holmes language of Yellow Face) is worse than a short confrontation.
@besleybean
Yeah, but i feel that two Englishmen in touristy places in the Continent are much more conspicuous than in a place like Dartmoor or North of England. Their stealth would have been most effective.
@Carol the Dabbler
I am not sure that he was aware of the fact that Moriarty would successfully escape his and Scotland Yard's clutches. This is clear from the fact that in Europe, Holmes angrily throws down the wire or paper, saying "He escaped, along with his second hand men".
If we consider the Holmes before Moriarty's confrontation or even after that (When he is assaulted by a rough or a has a brick thrown over him or that carriage that almost knocks him down), he was most concerned with escape or hiding.
Also, when he hid at Pall Mall, no one molested him (Mycroft's lodgings) proving that Moriarty's gang wasn't infallible. They couldn't even trace him to Pall Mall, what to say of those grey hidden stone lodgings in (hound of the baskerville) for example.
Secondly, i agree that your point is also a loophole. Although, if astute enough, Holmes could very well lose his pursuers in Persia or india and make his re-entry to England, most inconspicuous (which he was unable to do unfortunately).