You might need to have a talk with your DM. Ask him why he keeps using these kinds of monsters. Remind him that you are here to kill things and take their stuff. :) This kind of tactic, used right, could be an interesting twist in the game. Having to track down and finally kill an annoying bad guy is very rewarding. If every critter does it, it loses its appeal very quickly IMHO.
That said, what monsters is he using? Teleporting away from the battle isn't an ability given to stock monsters (that I'm aware of).
I checked the Compendium and found some teleport 8's and a teleport 10 (BahumutDDI) but I'm not aware of any critters can teleport far enough away to get out of battle. If the monsters are just using teleport to get a head start on running away, in addition to the fine suggestions already given, I'd suggest reconfiguring a character or two to become a chase character. A Barbarian or an Avenger can cover a lot of ground quickly in pursuit of a target. I'm sure other characters can do the same with the right feat/power choices.
One additional thing, teleportation can only be used to destination squares that you have Line of Sight to. The DM should not be teleportingDDI critters through walls or into closed off rooms.
If the DM breaks the rules once in a while in an attempt to make the game his own, I'm fine with that. But if he is redefining basic terms like teleportation, then you have a right to know the exact definition that he is using along with any limitations.