That's what makes the Federation interesting to Borg in the first place.
While we have no outright confirmation in the canon (not that I know of, anyway), I think we can assume that the ability to teleport away is something that interests the Borg (assuming that the Borg weren't aware of the Q at this point, they can't know at that point that Q was responsible).
First, we do know that the Borg prioritize their victims based on how valuable an addition a species would be.
They neglect the Kazon:
Seven: The Borg encountered a Kazon colony in the Gand Sector, grid six nine two zero.
Neelix: Were they assimilated?
Seven: Their biological and technological distinctiveness was unremarkable. They were unworthy of assimilation.
Neelix: I didn't realise the Borg were so discriminating.
Seven: Why assimilate a species that would detract from perfection?
(VOY: Mortal Coil)
They actively pursue Species 8472:
Seven: They are the apex of biological evolution. Their assimilation would have greatly added to our own perfection.
(Voy: Scorpion, Part II)
My theory is that the Enterprise disappearing like that dramatically bumped the Federation on the Borg's bucket list.
We know that this kind of long-range transportation technology is of great interest for them. I don't have the transcript, but in PIC: The Impossible Box, we see that the Borg assimilated the Sikarians - a species which has the technology to transport you over up to 40,000 light years, as seen in VOY: Prime Factors. They use this technology as an emergency exit for their Borg Queen.
The encounter with the Enterprise happens before the assimilation of the Sikarians, so the
ability to disappear into thin air is therefore very attractive to the Borg.
We also have some kind of confirmation that the Borg put a lot of effort into finding the Federation. In fact, they arrived much earlier in the Alpha Quadrant than expected:
SHELBY: My priority has been to develop some kind, any kind of defence strategy...
RIKER: Obviously nothing we have now can stop them.
SHELBY: We've been designing new weapons but they're all still on the drawing board.
HANSON: We expected much more lead time. Your encounter with the Borg was over seven thousand light years away.
(TNG: The best of both worlds, Part 1)
To sum it up: In vanishing like that, the Enterprise put the federation high in the "to be assimilated" list, because they seemingly either controlled a critical part of technology/ability, or knowledge on where to find it.