How WBCs(leucocytes) can cross walls of blood vessels but RBCs cannot

i know that blood vessels don't allow RBCs to leave but WBCs can. How is it?

From howstuffworks.com:

Neutrophils and monocytes use several mechanisms to get to and kill invading organisms. They can squeeze through openings in blood vessels by a process called diapedesis. They move around using ameboid motion. They are attracted to certain chemicals produced by the immune system or by bacteria and migrate toward areas of higher concentrations of these chemicals. This is called chemotaxis.

Hope that helps answer your question. Neutrophils and monocytes are two types of WBCs.

She gave a very good answer, which I'd like to add a little to if I may. Some WBCs do have the ability to squeeze through the walls of cells and blood vessels and move around with little pseudopods like amoebas do, which is vital to them getting to invading organisms or dead cells and digesting them. If they were trapped only in our blood vessels, they would not be nearly as effective in protecting us from these organisms or in doing their cleanup jobs in the tissues.
There is another big benefit to why RBC's don't leave the bloodstream, even in capillaries, and it has to do with pregnancy. The baby's blood and the mother's blood never mixes; rather, gases and wastes are exchanged by diffusion through the capillaries in the placenta in the same way that RBCs exchange gases and wastes throughout the body. They never leave the capillaries to do this.
Why is this a big deal in pregnancy? Because we have 4 different blood types in human beings, and frequently the mother and developing baby have different types. These blood antigens are located on the surface of the RBCs, and there are two possible proteins for this, given the names A and B (very original, right..she says, tongue firmly in cheek!). These antigens are co-dominant so if you have an allele for each, you will have both antigens on your RBCs and be type AB. If you have one or the other but not both, you'll either be type A or type B. If you have neither, you're type O.