Escaping is possible when a player activates a Escape Portal they have the option to escape the map. These portals will appear at any level, decreasing in numbers as you dwell deeper. In Goblin Cave, there is Cave Extract which allows 1 person to escape.
When a player escapes they will keep everything in their inventory and additionally they will get Adventure Currency depending on how many Monsters they have killed and other factors. Also, you will keep 100% of the Experience Points that you have earned.
In the case you die, you will only get rewarded 50% of the Experience Points you have earned and will lose all Adventure Currency collected. Furthermore, you will lose every equipment including your tools and inventory. Currently there is no way to secure your loot.