There are a couple of "sorta" exceptions -- figures that have special rules that say "instead of destroying this figure, move it to <somewhere>". I think those figures inclue the mystics (expansion), and a monster from the Kickstarter.
But as others said, there's generally no retreat option.
Those figures are not avoiding battle. They move to another province AFTER the battle. Your message is wrong and may bring more confusion to the topic creator.
There are no exceptions.