The Ending

All in all a good movie, however the ending kinda bothered me.
Supposedly Kilmers' character killed all those after the girl at the air strip and surely William H Macey was the only official to know Kilmers identity.
So, why on earth did Kilmer have to do a vanashing act, especially all the way to the uk?
I would have thought that the US was a big enough country to hide in.
They did this in Mission Impossible when Cruise was on the run and started recruiting, so where did they decide to go?? Yep London.
Just wanted to know your thoughts on this matter.