Frodo could no longer remain in the Shire because he was wounded too deeply. As Gandalf said in Rivendell, he became merely a vessel, through which his fëa shone through. In essence, he no longer was a Hobbit, he was a higher fëa trapped in the hroa of a Hobbit. He couldn't stay in the Shire because he needed others like him around him (i.e. Elves). When he went to Aman, Frodo finally found that "transcendental" environment, and no longer felt so different.
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But Melkor also was there, and he came to the house of Fëanor, and there he slew Finwë King of the Noldor before his doors, and spilled the first blood in the Blessed Realm; for Finwë alone had not fled from the horror of the Dark.
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