Mark 5:10 says "Then the spirits begged him again and again not to send them to some distant place."  
(NLT)

It's apparent that they did not want to go where Jesus was going to send them. We have to note that the devil and his demons have not yet been thrown into the Hell which most people think of, which is the Lake of Fire. That happens later according to Rev 19 & 20. However, the place that they are consigned until the judgment is not nice, which we assume is why they prefer to inhabit the bodies of people or animals when they can. Jesus allowed them to go into the pigs, but it didn't help them much because the swine immediately destroyed themselves, at which point the demons were forced to go back where they came from anyway.