A lot of them don't move for economic reasons, but cultural ones. Coming to a place with a larger Somali community that has established certain institutions makes it easier for them to live a less isolated life. For many of these individuals, they are simply craving a cultural connection. Many of these Northern European societies simply won't engage with you unless absolutely necessary, leading to social isolation for foreigners.
A significant factor is that these countries also have a dispersal policy; they have a clear goal to resettle Somalis, and foreigners in general, as far apart from each other as possible. This is intended to prevent ghettoization similar to what has occurred in France. Therefore, finding places like London with closely-knit Somali neighborhoods is impossible.
Another major reason is that recently (within the past 5 years), these countries have experienced a significantly more hostile environment. The Netherlands, Sweden, and Denmark have seen a surge in far-right government, making Muslims anxious about their future prospects of practicing their religion there. In the UK, such extremes haven't been reached (yet).