Well Jews lived under oppressive regimes wouldn't you agree? It couldn't get much more oppressive. So their only choice was to try settle a place completely empty or where the locals would greet them. Zionism considered this btw, all plans failed. There weren't that many options.
Their choice was to fight the oppressive regimes where they lived, not become the oppressive regime for other people. Of course not all Jewish people are Zionist so there were other options aside from colonizing Palestine.
