Because you will likely not be able to move fast enough to straight outrun the wind carrying the fallout. Strictly speaking though, you should be running at about a 45 degree angle to the wind direction, with the intention of getting out of the path of the fallout. Running with the wind means you have to run a long time, but running exactly perpendicular to the wind, you aren't adding any distance between you and the 'fallout front'. If the path is wide enough, the fallout may be on you before you have completely got out of the way. So the 45 degree route offers a balance between running away from the fallout and getting out of the way completely. The same strategy is employed to get away from avalanches.