The title is Out of Africa, when it all takes place in Africa—what's up with that? The narrator isn't from there, and doesn't really bring anything back out of Africa with her, except her memories. But, hey, that's what this book is all about—the memories she brought out of Africa with her when she was forced to leave her home there behind.
Dinesen could have called it Getting the Heck Out of Africa, because the whole book leads up to her having to leave. The memories are written from the point of view of someone who is outside of Africa but misses it. So that feeling of being "out" is a negative one, related to the loss of her home.
Dinesen is also paying homage to the philosophical bigwig Pliny the Elder. Old Pliny's credited with coining the phrase "Ex Africa semper aliquid novi," which means "Out of Africa, always something new." And dang, if that phrase isn't pertinent to Dinesen's life.