Why do M*slims refuse to assimilate into the society of a nation to which they chose to emigrate?

http://news.yahoo.com/s/afp/20080627/lf_afp/denmarkislampoliticslawheadscarf_080627065326 Clearly, the hijab is not part of Danish culture, and is viewed negatively by most Danes. If one moves to a new country, why not live like the people there? If you wish to remain living like you wree in Yemen, why leave Yemen in the first place?