In Munchkin, I found the following for running away (source)
If nobody will help you . . . or if somebody tries to help, and your fellow party members interfere so the two of you still cannot win . . . you must Run Away. You don’t get any levels or Treasure. You don’t even get to Loot the Room. And you don’t always escape unharmed . . . Roll the die. You escape on a 5 or more. Some Class and Race abilities and some Treasures make it easier or harder to Run Away from all monsters. And some monsters give you a bonus or penalty to your roll for that monster only.
However, it is not clear to me if you can run away if you would win.
For example, if you don't have cards on your hand and if you have "die hard" ("Hart im Nehmen" in German; it prevents you from losing your stuff when you die) you might actually want to die. Or if you are forced to help somebody and you can run away easily, you might rather try that.
Can you choose to run away even if you would win?
