Somewhat in Canada, where they emigrated as "United Empire Loyalists." Hardcore Loyalists didn't stick around the U.S.
But some did eventually come back. I have loyalist ancestors who fled north for safety's sake, but their descendants later migrated west from Ontario into Michigan after the Civil War. It helps explain why I'm not 100% sympathetic to the Tea Party. My family history makes me skeptical of the claims tax protesters. Just as was the case 250 years ago, they enjoy the benefits of the government they have but don't want to pay the taxes that makes it possible.