User blog comment:12th Supernova/Chapter 812: A man's home is his castle/@comment-4493594-20160115215340/@comment-26803131-20160116172106

It's possible that he ran away. Especially since as far as we know he never attempted to go back to his family. But I have a few other possible ideas.

1. His parents wanted him to live as the average man does so that the didn't grow up entitled like Doflamingo.

2. His family gained their wealth/power after Sanji went missing.

And in these cases Sanji never tried to return home due to the debt he thought that he owed to Zeff.