Yeah, this can get funny, even annoying sometimes. I especially hate it when the enemy withdraws where you can't follow, only to be sure to be a pain in the behind two turns further down. Fleets are the most irritating. Being blockaded on and off for turn after turn after turn just because you can't sink the enemy is unnerving, to say the least.
I don't usually withdraw my armies from the field myself. You take losses in withdrawing that you haven't taken on the battlefield - which makes playing a missile-heavy army somewhat less efficient than it might be. I usually try to bring enough manpower to actually win the fight. If I haven't got that kind of troop strength around, I often leave the general out of the fight and sacrifice a whole army while taking down as many Mongols or Timurids (the usual suspects here) as I can.