You can return the game to the last checkpoint you were playing at by selecting “Restart” from the pause menu. Batman Arkham Knight saves checkpoints frequently, so this will usually return you to the beginning of the section of the level or mission you were on.
If you would like to load an even earlier save or checkpoint, back out to the first menu when you start the game and before you select your save slot, highlight your save slot, and press L1+R1 on your controller (or LB+RB if you are using an Xbox controller) and hold the button for ten seconds. Once the option changes to view backup saves, select your save. This will allow you to load one of your recent saves instead of your current save.