If the Pokemon that used mean look fainted then mesprit can fled
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Its not Azelf its Mesprit that flees and you get it by using the Pokemon tracker app and you wil need a Pokemon with mean look so Mesprit does not flee.
When you catch dialga/palkia or defeat them, you can catch azelf and uxie in the lakes.Mespirit will flee so you gotta get a poketech radar to track it down.
After you catch the main legendary (dialga, palkia, giratina) go to lake verity and mesprit will be in the cave in the middle of the lake. Talk to it and then it will flee and appear on your map app.
Mesprit does flee from the battles normally at the beginning. But if you manage to inflict damage on it then when you see it again it will still have the damage to it. The best way I found to catch Mesprit is to get a level 30-40 Pokemon that knows Mean Look, I evolved my gastly as i found my captured Haunters didnt know Mean Look. Then give your Pokemon that knows mean look a quick claw. Track down Mesprit using the Poketech app (forgot what it is called, my apologies >.
it is very hard to get azelf and mesprit and uxie. in my Pokemon diamond, azelf and mesprit fled the battle. if you want to find them, use your matching Pokemon app on your watch and DO NOT FLY UNDER ANY CONDITIONS. IF YOU FLY, THE POKEMON WILL ALSO FLY AND YOU WILL NEVER FIND THEM. DO NOT LOSE HOPE!!