Sometimes the best way to deal with accusations is to leave. Staying and arguing will only make matters worse as each side would try to prove they are right. Leaving does show that He had tried to convince them. But, now that it is over, there is not much more that He could say or do because they are unwilling to listen.
When had asked for a sign from heaven in Matthew 16:1, their intent was to entrap Jesus. They were not searching for truth. They had already come to the truth in their mind and it was true only in their mind. Jesus says that they know how to discern the weather but why can’t they discern the “signs of the times” (Matt. 16:3). He, then, leaves the place after rebuking them, “A wicked and adulterous generation seeks after a sign, and no sign shall be given to it except the sign of the prophet, Jonah.” And He left them and departed” (Matt. 16:4).
When the chief priests and scribes heard the children praising God after Jesus had cleansed the temple and healed the lame and the blind, they ask Him, “Do You hear what these are saying?” (Matt. 21:16). He knows that they had come to the point of no return. No amount of Scriptures, reasoning, questions, strong words of rebuke, or parables would effect a change. They were unwilling to consider the possibility that they could be wrong and that Jesus is, in fact, who He had claimed for Himself. After quoting the Scriptures and knowing he had done all he could do, He leaves the city and goes to Bethany (Matt. 21:17).