So they can come close to our borders and when our Jet will try to engage
Then what if they someday came close to our border and when our CAP team engage with them ( just like they did on 26 Feb on atleast 3 different locations), they would shoot a BVR missile and run away causing a lose of our Jet?
Not as simple as that. The jets have several defense mechanisms, and the aggressors have certain issues to overcome.
The aggressing jets require a good network of radar coverage in enemy territory for their BVR missiles to lock on, and track during launch.
Consider opponent's airspace as a great mesh of obstacles that your radar network coverage has to overcome to identify a jet, identify if it's friendly or hostile, identify what kind of a jet it is, and to identify exact co ordinates and positioning along with vector for the software to calculate vector and trajectory of firing missile: then to maximize chances of hitting, the jet needs to keep track on the target, although many although not all have their own tracking systems mostly using infrared, their chances to actually hit after launch, and left to self track, are low, like 60% or so.
Furthermore, the jets being targeted have systems which notify the pilot when he is being locked on, and also when a missile is inbound for his jet. At this point, jets can use jamming weapons and ECM warfare, it can also perform high G turns to evade the missile, if all else seems to be failing, the jets can release flairs to divert the missiles target by exploiting its infrared tracking mechanism.
This is why communication networks, AWACS, and such systems are extremely important in Air engagements.