Molly does go after Sherlock, but it's just not in time. Spoilers for S3E2. Enjoy.
She had to wrench off her heels after almost twisting her ankle, but even if she hadn't have stumbled around, she wouldn't have made it in time. By the time she made it outside, heels dangling from her fingertips, Sherlock was long gone.
Molly had watched, unable to help, as his smile slowly faded and he left them all behind. He'd endured the day, gave his wonderful, beautiful speech (however cringe-worthy and awkward it may have been), played that beautiful song, and had done everything he could to make the day go smoothly for his best friend. But he was clearly out of his element, even at the reception, and his adversity to other people got the better of him. He left.
And it was heartbreaking.
Molly lingered on the path, eyes searching the perimeter, hoping he was still nearby. She wanted-needed-to talk to him. She knew she shouldn't have brought Tom along. If Tom hadn't been there, she'd have danced with Sherlock. She knew what he was going through; she understood him completely. His confession during his speech that he hadn't thought he'd ever be considered someone's friend had struck a cord with her. She needed him to know that she was there for him. Not just to help him fake his own death and keep it a secret for two years. But for other things too. For friend-things. Anything, really.
Jesus, even in her head she rambled on and on.
Molly half-turned back toward the building, eyes still searching for the hem of a long coat or the rising smoke from a badly-needed cigarette. Nothing. No one. With a sigh, Molly slipped her shoes back on her feet and continued up the path toward the party. She left Tom waiting at the end of that last song, and she supposed he was wondering where she got off to. It was time she got returned to the fray.