I'm looking for a word describing a man who keeps returning to a place although people there always abuse him and say bad things to him. He keeps going back because maybe he likes to experience this like a Howling Mad Murdock of the A TEAM.
glutton for punishment is fairly popular
You are probably referring to a case of masochism:
gratification gained from pain, deprivation, degradation, etc., inflicted or imposed on oneself, either as a result of one's own actions or the actions of others, especially the tendency to seek this form of gratification.
a person who is gratified by pain, degradation, etc., that is self-imposed or imposed by others.