To leave your lair, find the door out!
In the cave, click on the big wooden door.
The mansion has a big set of double doors.
The sewer has a red utility door.
When you click the door, a radial menu will appear with an exit option. Click on that to get the list of exits (of which there should be only one).
Click "Leave" to recall to the last non-lair zone you were in.