why does george say that they cannot let lennie escape to live on his own?

I assume you are referring to the end of the novel when Curley and the mob are chasing Lennie down. Lennie would not survive on his own. At best he would be caught and put into a cage. As Slim says "that ain't no good", George too understands that the most compassionate way out of this is too shoot Lennie while George recites their dream farm.