Two months after the Battle of Hampton Roads, Union troops entered Norfolk, Virginia. The retreating Confederates couldn't save CSS Virginia.
The ship was too ungainly to survive in the open ocean, even if it could have sailed past the Union blockade vessels. And the draft of the ship (its depth in the water) was too deep for it to sail farther up the James River. The ship had nowhere to go.
The Confederates removed the guns and anything else of value from the ship, and then set it on fire. Charges stowed on the ship exploded, completely destroying it.