The team boarded a flight from Kingston that was due to make a stop in London before continuing on to Lahore, Pakistan.
Pakistan's cricketers said they were relieved to be heading home from Jamaica, where Woolmer was murdered just one day after the team was pushed out of the tournament in a shock loss to Ireland.
Pervez Mir, the team's spokesman, told Sky: "The players are relieved now to be going home.
"The players have been very scared. When something like this happens it's indeed a very scary thing."
Rumours continued to circulate that the death may be linked to match-fixing.
The International Cricket Council has said it will investigate whether match-fixing was a motive for the murder..
The Woolmer family and Naseem Ashraf, the Pakistan Cricket Board chief, have rejected suggestions that the coach may have been killed by gangs that feared their match-fixing activities would be exposed in a book Woolmer was planning to write.
Jamaican police believe the victim may have known his killer or killers.
"It's fair to acknowledge that, because it was in his hotel room, it may be an associate," Shields said.
Woolmer's body is to remain on the island until the conclusion of a coroner's inquest to be held as soon as possible.
Shields said the coach's widow, Gill Woolmer, was upset the body would not be repatriated on Monday, but understood this was a legal requirement.