Hebrews 11:9, 15-16

It was by faith that he lived like a foreigner in the country God promised to give him. He lived in tents with Isaac and Jacob, who had received that same promise from God.

If they had been thinking about the country they had left, they could have gone back. But they were waiting for a better country—a heavenly country. So God is not ashamed to be called their God, because he has prepared a city for them.