Ahab told Jezebel how Elijah had killed all the Baal prophets. Jezebel sent a message to the man of God, saying that the gods can do the same and more if she does not make their life as that of one of them.
Elijah saw that he could not remain in Israel as Jezebel had vowed to kill him. Elijah was not afraid to die, according to verse 4, but he did not want Jezebel to murder him. If she succeeds, then all his work would be in vain.