This is actually a really great question! Personally, I wonder if they didn't return to the cafeteria and try to detonate the bombs because this space was almost entirely evacuated at this point. Their main plan was to kill as many people as they could, so perhaps the bombs felt useless at this point. I don't think they particularly cared about destroying the school if there wouldn't be a lot of deaths involved.
I also think they chose not to try and shoot at the cops because they wanted their deaths to be by their own hands. I could be entirely wrong, but I wonder if they thought that being killed by police would make it look like they were "defeated" and wouldn't bring them the infamy and recognition that they thought they deserved. Both of them hated the world for making them into monsters and they wanted the weight of the massacre and their suicides by their own hands to fall upon the shoulders of the people around them - the "sheep", as I believe Eric called them many times.
I am by no means a Columbine expert so I'd love to hear other ideas on this!