One time I had both my girls in my car with me and its a ute so they both sit in the front, and I got out of the car at a shop, which was on a main road, and usually they stay put while I get out (They weren't tied in or wearing leads because I was in a hurry and only had 10 minutes before the shop closed), but that time my oldest girl hopped out while I was shutting the door and ran off down the footpath (alongside the main road!) and I was distracted by trying to grab her that my little girl went to hop out of the car and lucky for me I grabbed her mid hop and chucked her back in the car and shut the door!
By this time I was having a heartattack but luckily I didnt chase my girl and I could see her thinking "oh, this isnt the park, this is boring" and she was a few metres away from me, just standing there, so I called her and she came back, thank god.
I totally learned my lesson there and always tie them in from now on, or use my other car which is a wagon.
But that gave me the fright of my life and if my little girl got out she would have run straight onto the busy road and my oldest girl probably would have chased her and I would have lost at least one of them for sure.
Anyway, I agree that chasing them is the worst thing to do. I would run the opposite way and let them chase me, if they're not trained in recall yet (or choose to ignore you).