They try to keep in a certain distance from each other so stragglers tend to slow down the ones already out of the melee. In general though, make sure you do see the double triangle instead of the signle triangle when you disengage cavalry, i.e. running va walking.
I think if you keep ordering within split seconds, you might possibly slow your cav down some more, due to a double click being interpreted as single+single (i.e. for a split second they resume walking.)
Another thing you can try is to tell them to stop and then run them out. The danger of this being you may lose quite a few due to them getting hit, as units under the halt command get killed by aingle blows normally.

Last resort you can use the withdraw function, but its not alwas reliable.