Mention is made in the Hadith about going to live in the mountains during the times of fitnah.

Answer

Although it does apply, there is no mountain where one can today take refuge. If you can find a mountain anywhere in the world to take refuge, then it will be best. But in this era, you will be arrested even in remote mountains and accused of being a terrorist. While the attitude to run away from people of transgression is good and is proof for sound Imaan, there just is no place to run to in this age.