tolkiens legendarium - Why didn’t they just take the ring to Valinor?

At the end of ‘The Return of the King’, Bilbo, Frodo, Gandalf and others boarded a boat and left Middle-earth for Valinor.

Is there any canon explanation why they couldn’t just take the ring there in the first place and leave Middle-earth altogether? Would Sauron have gone after them? Couldn’t the elves living there safeguard it?

I do realize that without Frodo taking the ring to Mount Doom there would be no story at all, but I wonder whether or not there is any canon explanation for this.

Answer

Elrond says so in the council:

“But Gandalf has revealed to us that we cannot destroy it by any craft that we here possess,” said Elrond. “And they who dwell beyond the Sea would not receive it: for good or ill it belongs to Middle-earth; it is for us who still dwell here to deal with it.” -FotR, Book 2, Ch.2.

Basically, since Sauron made it in Middle-Earth they have to deal with it there. Additionally there is concern of it being intercepted by creatures in league with Sauron while on the sea, I seem to recall.

EDIT: As Daniel Roseman pointed out in the comments (along with a nice quote from the book), it is unlikely they would have made it even that far, considering they would have to go back on the very road whence they came, and they barely survived that (at least in Frodo's case):

'And that we shall not find on the roads to the Sea,' said Galdor. 'If the return to Iarwain be thought too dangerous, then flight to the Sea is now fraught with gravest peril. My heart tells me that Sauron will expect us to take the western way, when he learns what has befallen. He soon will. The Nine have been unhorsed indeed but that is but a respite, ere they find new steeds and swifter.' -FotR, Book 2, Ch.2.

Lord Elrond himself follows it up with the explaination why fleeing back towards the sea is such a bad idea:

'The westward road seems easiest. Therefore it must be shunned. It will be watched. Too often the Elves have fled that way. Now at this last we must take a hard road, a road unforeseen. There lies our hope, if hope it be.' -FotR, Book 2, Ch.2.

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