Nor would they have known that the towers were going to collapse soon after. I expect anyone in the building surviving after the initial plane crashes expected all they had to do was walk down the stairs and they'd be fine.
And they were right. People who worked in stores below the place of impact did walk down the stairs, and they were
fine. But that wasn't an option for people who worked in the stores above the impact. And jumping to a lower level --- say, from the 96th to the 86th floor --- wasn't an option, because the towers were straight as a candle. There was no place to land on the 86th floor. (And even this is assuming that you could survive a jump 10 stores down, which you probably can't.)