If the game re-spawns you at the Bozak Horde location, in front of the elevator, you need to turn back and approach the door. Then you can press and hold the activation key to leave the quest and return to Sector 0.

Additionally, go to Play, then Play Campaign, select your save file and press the Advanced key indicated below the window with save files. This should give you the option to leave the Bozak Horde challenges permanently.

The last thing to do is change your currently tracked quest to a different one (e.g. a Quarantine Zone) and grab you weapons and other items from the main character's stash/bag, next to his bed: