Malbim: (a) They thought that since Baruch enters and leaves amidst the Am, he heard that they want to go to Egypt in any case, and he told Yirmeyah and enticed him [to believe it]. (b) According to nature, Nebuchadnetzar will harm them for the murder of Gedalyah. It is good that they leave. How would Hashem tell them to remain in a place of danger, and He will need to alter Nebuchadnetzar's choice, which is a miracle against nature? Hashem does not do a miracle if there is a chance of natural salvation! Therefore, they did not believe his Nevu'ah.