There's no way to remain as a party when leaving a game. It's common to want to leave a game and queue for a different playlist or look for something in the server browser, but it's annoying to have to re-make the party every time.
#Maintain Party when Leaving Server
final ice
barren prawn
Party leader option quit with party, next to normal quit. The party members get a prompt 10 to 15 second countdown to follow or stay.
delicate python
You don't need to though. The party leader can exit, requeue, and when they connect to a new server it will automatically yank the other party members into the new server.