From Bulbapedia, the community-driven Pokémon encyclopedia.
The Escape Rope is an item available in all of the handheld Pokémon games to date. It costs 550 at Poké Marts, but changes to 250 in Pokémon Platinum. It can also be found lying around on the ground within the game or held by Pokémon with the ability Pickup.
Escape Ropes are used in places such as caves to warp back to the entrance in which they came in from. This effect alleviates the necessity to have a Pokémon with Dig in the party when a player wants to exit a cave or similar location quickly.
To date, Pokémon Colosseum and Pokémon XD: Gale of Darkness are the only games that have no use for the Escape Rope; therefore trading is required to obtain the Escape Rope in these games. Due to the different map system used in those games, the Escape Rope's only use in those games is to either sell it for money or trade it back to a handheld game.
The Escape Rope cannot be used to escape from Spear Pillar, the Distortion World, or the Hall of Origin, as they are all considered to be outside of Mt. Coronet by the games' programming.It also cannot be used in Turnback Cave.