Insect leaving gnu, say, to run off (5)
I believe the answer is:
elope
'to run off' is the definition.
(synonyms)
'insect leaving gnu say' is the wordplay.
'insect' becomes 'ant' (ant is a kind of insect).
'leaving' indicates named letters should be taken away.
'gnu say' becomes 'antelope' (gnu is a kind of antelope).
'antelope' with 'ant' taken out is 'ELOPE'.
(Other definitions for elope that I've seen before include "leave with lover" , "Run away to Gretna Green?" , "(Lovers) run away" , "do a moonlight flit" , "run off with another?" .)