Many answer focus on resources (people and the money/products they can generate) and blocking of outside information (preventing people having other comparatives or being able to compare their country with others).
One answer mentioned **cognitive disonnance*", and I want to take that as a starting point.
I grew up in the era of the Soviet Union. Many people wanted to leave, but weren't allowed, even if their social contribution as resource producers was minor or impeded. For example, even old Jews who wanted to leave and go to Israel, were refused (known as "Refuseniks"), and often lost their jobs, or got demoted to meagre janitorial work, or were imprisoned. On the face of it, that contradicts much of the argument above. They included old people who couldn't produce much, but also included famous professors who were jailed or prevented from working as academics or in industry, despite being highly skilled in areas valuable to the USSR. Nor was it specifically antisemitism at work - the USSR was atheist rather than specifically antisemitic. At best the actions taken lost the country resources and cost them significantly. There was no gain in production or other ways. So why did they take these extra actions?
One answer is that a dictatorial state is to an extent, usually also a paranoid state. People are watched, the state has huge rights (legal or otherwise) of intrusion, jailing, trumped up charges, and spies on its citizens, "wrong thinking" or "wrong actions" are serious crimes, and so on.
In other words, trust (and more exactly lack of trust) is a huge issue playing out in many ways in such a society. A solo dictator worries who might conspire or get power; countries in the USSR worried about who was a trustworthy citizen. "Antisocial activity" crimes existed, which cover many things that pretty much all come down to criminalising the fact that one "might raise questions or mean the person can't be relied on to faithfully comply with the official line/approach/thinking", in someone's perception.
This is a trait visible in many dictatorships - North Korea assassinated a possible threat (family member) recently; China imprisons human rights lawyers and activists; even in Russia, people often look to Putin to check whether their position is "acceptable".
Limiting what people can think, and do, and making sure nobody feels safe, is also a common way to ensure people create a social norm in which anyone with a question keeps it mainly to themselves and therefore society becomes an echo chamber where all a person hears around them are people talking in ways that reflect/reinforce the lines set by the dictatorship. (This is the "cognitive dissonance" element mentioned preciously).
This link in today's news gives a bit more of an idea of the repercussions that dictatorships can and do wield if it wishes (death, family members, hard labour, sudden disappearance, that 'good' citizens inform on dissenters and [implied and often actually] those expressing nonstandard views, ...). Although the issue covered in that article is criticism of the leader, you can imagine the undercurrent of distrust, fear for safety, citizen monitoring etc that is implied for the whole dictator's society, and what most ordinary citizens will think about taking actions that could make them "stand out" or might be questioned in a critical light. This general approach (a fearful/distrusting state and citizenry + repercussions for perceived risk/questionable conduct) is typical for authoritarian/totalitarian dictatorships - for example 1970s Chile, 1930s/40s Germany, Soviet Union and former Soviet republics, China (esp. Cultural Revolution), to name just a handful of many.
So coming back to the OP, consider a person who wants to travel.
In a democracy, one might ask "can they afford to" and "do they have a right". A dictatorship starts from a perspective "is this a threat?" (probably!), or even more strongly, "is there any way this could be a threat?". This person wants to travel. Why? Do we trust them to do so, even to the extent of areas we don't control and don't have insiders/spies/informants? No? Then immediately, no travel for you. Do we want to bring them into the equivalent of the police/FBI to have a chat, and probe in depth their motives and what might be up? Shall we check all their relatives and work place records to see if there might be a reason for doubt, or something going on we've overlooked? Or shall we just decide this is enough of a sign of non-typical mindset that we should remove their job and send them to a prison camp, to ensure any disruption they might cause in future, and anyone they might come into contact with, isn't harmed (from the dictatorship perspective) by their lack of orthodoxy and departure from norms. And so on.
In that environment, few would wish to raise their head and be scrutinised, or seem to be "out of line" in any way. So few ask. Instead travel becomes a mark of a person who has a blatantly obvious good reason, and who is allowed to travel because of the benefit it brings the country.