French Muslims aren't any less French. Most of them are multiple generations removed from another country than France. Why would you expect them to move to the country of their grandparents and of whose language they often don't even speak?
Beyond that, most immigrants to France aren't Muslim either. Around a third come from the Maghreb, though not all of them are Muslim either. The reason why they go to France is because colonial era French institutions mean that they were taught French, and their countries are quite poor, so they go to the only country they have a solid shot of going to. Often they already have family in France.
But even then, only about 100 000 people from the Maghreb immigrate into France, which is slightly north of a tenth of a percent.
They can't really leave France either for mostly the same reason France is the main source of immigration.
Beyond that, most immigrants to France aren't Muslim either. Around a third come from the Maghreb, though not all of them are Muslim either. The reason why they go to France is because colonial era French institutions mean that they were taught French, and their countries are quite poor, so they go to the only country they have a solid shot of going to. Often they already have family in France.
But even then, only about 100 000 people from the Maghreb immigrate into France, which is slightly north of a tenth of a percent.
They can't really leave France either for mostly the same reason France is the main source of immigration.