Team Rocket is an organization that plots to take over Johto for the sake of regaining this organization's former glory. The reason for staying doesn't require much thought. Team Rocket is very interested in keeping any and all members under it's grasp and they aren't above sending out much stronger members to do a little welfare check on some of the more rebellious operatives.

You can leave, but they can make you wish you hadn't. [ There's no point in really telling him why to work under them. You're kinda here by force, whether you like it or not. Or, that's what Lust has always seen. ]