He does this because he is afraid of Sirius Black, who he believes is responsible for the death of Regulus Black, Sirius's younger brother. He also fears being captured by Voldemort's forces and forced to return to his old master, Bellatrix Lestrange.
It's important to note that while Kreacher is hiding, he also serves as a spy for Sirius, reporting back to him about what is happening within the Order of the Phoenix.