Units normaly only take ticks of damage when they're trespassing so normaly you sould be able to move them out in time. If they were low due to the siege you cant save them. to move them out you have to click outside of the enemys territory. hope that could help.

I sincerely hope this gets changed in future updates....

I was in a war and won.  Of course I had a stack of my best troops in their city I had captured.  

The war is over, I won and didn't take anything!!  (other than gold)

NEXT TURN I am sending my troops home and the enemy I just defeated attacks me.. I could have easily won, but I just tried retreating (thinking any direction would have been out of their territory...East was preferrable and sound was my territory)

Of course, It had me retreat WEST, directly in the middle of another persons land that I wasn't at war with and of course I got attacked again and could no longer retreat.  It was a tough battle, but my beat up army prevailed without a single loss.  (only a few tiles away from my home, now)

NEXT TURN I am informed my "TRESSPASSING ARMY WAS DESTROYED"  All of them, no questions asked, no battle, no loss of hit points, no grievances... just gone, for no other reason but poor game mechanic.

SUGGESTIONS :

1.When a war is over, there should be a cease fire!!  That would have prevented the whole thing.  (The only way you can move is out of their territory at that point)

2. You should not be able to retreat into neighboring territory (cities and attached outpost) and if you still make that possible, at least trigger a grievance or loss of hp and make the only way to get out is to click the closest path out of their territory.