why dr zhivago didn't leave russia with lara, If he loved her so much?

Its a bit vague but
---Zhivago is 'too Russian' to ever leave the country.
---Their baby is the girl interviewed by Sir Alec at the start and end.
---Can't remember any mention of Lara's other daughter after she leaves with Komarovsky.

"The old man's still an artist with a Thompson."

Probably for the same reason Pasternak didn't leave Russia. He was awarded the 1958 Nobel Prize for Literature for this novel, but the Russian government wouldn't let him accept it, because they considered the content of the novel to be too anti-USSR. (It had been smuggled out of Russia to be published in Milan the year before.) The government threatened him with exile, and he wrote a letter to Premier Kruschev saying "leaving the motherland would equal death for me. I am tied to Russia by birth, life, and work."

I have just watched the film on DVD, for the first time for over 30 years, and that was the question that remained in my mind. He had a woman who was deeply in love with him, whom he loved deeply in return, and had the chance to escape the persecution but did not take it. To my way of thinking he was no different to Strelnikov (who was, of course, Pasha Antipov, Lara's husband).

It's possible that, like Pasternak himself, Zhivago simply could not bear to leave his home country. Also, he goes along with the plan to leave only to save Lara. He knows that what Komarovsky intends is to have Lara (hence their initial refusal to go), so, although he wants to save her, he cannot bear to accompany them only in order to be dropped by Komarovsky. Another point is that he simply does not trust him and cannot agree with his values, so he does not want to put himself into Komarovsky's hands (and be in his debt).

As much as I like the film and the excellent job that Lean and Bolt in consolidating also a great but long and detailed book, this was one of the things that was not made clear enough to the audience. And was a flaw in the film, imho.
Yuri like the actual author of the novel Boris Pasternak felt his soul and being so connected to his native land that it would have been like death for him to leave. It comes out in the book quite clearly, but was not evident in the film. Although there are scenes where you can see Yuri inspired by nature, we don't see how passionately he is connected his home land, not in a nationalistic way, but from the earth/nature itself.
This is actually something intrinsic in the Russian culture at least in Pasternak's time and prior. The land, nature is quite meaningful and alive to the Russian soul and it comes out often in the poetry and folk songs.
This connection for Yuri could have been established with a few added lines and moments that wouldn't have even involved an extra scene. But was not. The film was edited very quickly initially and then re-edited again after it's initial opening got such bad reviews. Perhaps Bolt had included this in his script and it was cut out.

If you ask this then you can't understand reality of that time. Enjoy you never lived in Soviet Union.

It's a safe inference that Yuri did not want to leave Russia, but neither did many of the emigres who successfully did. What the movie hints at but does not make clear is the difficulty of traveling and crossing borders in those days. Remember that Yuri and his family had to have inside assistance from his brother to get the necessary travel papers to go to from Moscow to the Urals; guards of all sorts were patrolling borders and it was mostly the wealthy, like Tonya's family, who managed to buy their way out to France or Britain or elsewhere. The Bolsheviks did allow a number of the nobility to emigrate. However, "workers" were forbidden to do so. A person needed money and connections to get out.

Its not clear that Lara and Yuri could have escaped (and it would have been escape, not a free crossing of the border) even with Komorovsky's help, which I can't see him giving them. Lara's older daughter presumably went to Pasha's family or remained in the little village where he had supposedly gone for his teaching job (they refer to he village when Zhivago tells Tonya that "Nurse Andropova" has gone to G....to be with her daughter).

I don't recall that we find out what happens to Komorovsky, either.