Suppose dragons left first. Jealous about their treasure, big and easy to find -- hiding would be prudent. Then, perhaps, leprechauns decide their gold would be best protected the same way. Then selkies decide that it's foolish to expose themselves to peril -- after all, they suffer far worse when their skins are stolen than dragons or leprechaun do from the loss of their gold. . . .
As it progressed, it might turn into pressure on the hold-outs, who provide evidence of a magical world if not of the precise beings hiding. Or they might threaten to hide from the hold-outs as well. But if they responded to pressure, they could all hide away in one big happy magical world, without doing it in one swoop.