Just let them go. Don't EVER chase clients. You need to set forth the notion that you are not desperate and you do not need them. You provide a service. The parents either want that service or they don't. Period.

Yes, it sucks. Yes, it happens. But the longer you are in this business the less stuff like this will happen to you. You just need to get some experience dealing with the business side of daycare under your belt and situations like this will become very rare.

Keep the deposit and move on.