Why can't I retreat my troops during combat?

Once your troops are engaged in melee combat, they cannot retreat. As soon as two opposing armies make contact and a combat tick begins, the units are locked in battle until one side is destroyed.

You can only retreat if your units are not yet in melee contact. For example, artillery firing from range may still issue a move or retreat command as long as they have not been pulled into splash-range retaliation. Once melee contact is established, however, movement commands will not pull your army out. They will continue fighting until the battle resolves.