For one thing, the elves did not actually have to leave Middle-earth. However, if they didn't, they would eventually fade; thus, most elves travelled West.
The only elf I can think of who left Aman after the First Age is the mysterious Glorfindel. Tolkien wrote two essays on him near the end of his life, one which placed his return to Middle-earth in the Thrid Age, coming with Gandalf, and the other more strongly put Glorfindel's return in the Second Age. Had Glorfindel come to Middle-earth in the Third Age for certain, than it would show that the Straight Road was not just a one-way thing. However it seems more likely (to me, based on the strength with which Tolkien asserts it) that Glorfindel returned in the Second Age; one of Tolkien's reasons being that such travel back to Middle-earth might not have been allowed after Numenor's downfall, which would mean that the straight road (existing after Numenor's fall) is actually one way.
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"He was sent by a mere prudent plan of the angelic Valar or governors; but Authority had taken up this plan and enlarged it, at the moment of its failure."
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