Donalbain is Duncan's younger son and Malcolm's brother. When Duncan is murdered, Donalbain and Malcolm sense their lives are in danger and decide to flee. Donalbain notes:
There's daggers in men's smiles: the near in blood,
The nearer bloody.
This means he is certain that someone very close to them will aspire to kill them both because they are Duncan's immediate heirs. Malcolm flees to England, while Donalbain escapes to Ireland because the two of them being in different countries will makes it harder for their enemy (Macbeth) to find them and kill them.
Once they escape, Donalbain is no longer present in the plot directly. He never returns from Ireland. There is no direct answer as to why he does not return to Scotland, so we may only speculate.
When Caithness asks Lennox if Donalbain has joined his brother's army against Macbeth, Lennox informs him that Donalbain is not present:
CAITHNESS
Who knows if Donalbain be with his brother?LENNOX
For certain, sir, he is not: I have a file
Of all the gentry...
Most likely, Donalbain does not return from Ireland to join Malcolm's army because he may want to ensure the continuity of his father's blood and the preservation of his family's lineage. He is Duncan's second immediate heir, so if Malcolm died, Donalbain would still be able to inherit the throne some day and restore order in Scotland.
Also, while we do not see him return to Scotland, there is some indication at the end of the play that he might return:
What's more to do,
Which would be planted newly with the time,
As calling home our exiled friends abroad
That fled the snares of watchful tyranny.
These words suggest that one of the "exiled friends abroad" might be Donalbain, but, of course, we do not know for sure. Historically speaking, it would be interesting to note, however, that Donalbain does return to Scotland and seizes the throne for a few years after his brother dies.
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