Baum never elaborates how the Scarecrow was given life. Unlike his Oz companion the Tin Woodman, the scarecrow was never a real man with a body of flesh and blood whose soul transferred to its current form. Even though it never mentioned it is indeed highly possible that someone such as the Munchkin farmers who made him used the magic substance called "Powder of life"
I think because they had to leave their home and even though they might be somewhere better it just doesn't feel right to them like its just not where belong or should be.