That's what he should have done from the beginning, gone to security. He had wanted to protect Katherine, but he sees now he hasn't protected her at all, and now everything is completely out of control.

"Kate -- "

He's not sure what to say. While he's trying to come up with something she finishes.

'Then I'm leavin'.'

The way she says it...

He looks up at her, searching for signs in her expression to go with her tone that says she's leaving, and not coming back.