The Megilla tells us in 2:6, "Asher hagla m'yerushalayim im hagola asher haglsa im y'chonya melech yehuda, asher hagla nebuchadnezzar melech Bavel." (my translation) That [Mordechai] was exiled from jerusalem with the exile that was exiled with ychonya the king of judah, who was exiled by Nebuchadnezzar king of Bavel.
The Gr"a points out that the passuk repeats the term "was exiled" three times in that same verse to indicate to us how beloved Israel and Jerusalem were to Mordechai. He was exiled 3 times (!) from Israel. He was exiled and went back and exiled again and went back and exiled again! He did not want to be outside of Israel so badly that he kept going back and trying to live there.