This is controlling behavior, using guilt ("I will hurt myself") in order to manipulate you.
Someone else (I think maybe on this forum?) once said that when you hear comments that imply that your partner will be suicidal if you leave, reframe it in the following way: they are threatening someone's life if you leave them. Would it be so easy to take responsibility for him if he threatened someone else's life rather than his own?
The person he's threatening (himself? someone else?) really doesn't matter when you look at it in this context, and it's much easier to focus the responsibility where it belongs - on him. Point him toward help, but take care of yourself.