That's because the game gives them jobs. They leave when their work hours start and are replaced by other sims who will become sages. Being a sage is apparently not a job but a hidden trait.
If you use MCCC you can keep your sages unemployed by going to MCCC > Sim Flags > Flag Freeze Career when they are unemployed. If you need to remove their current career you can do that by going to Cheat Sim Info > Remove Career
There is currently a bug where they will still wear their old work outfit though. So the best way is to load an old save and do it before they get assigned jobs. Otherwise you have to change their career outfit by using the modify career outfit cheat.