I'm worried, too! I worry about a guy who threatens his girlfriend with doing something bad to himself if she doesn't do what he wants. What a jerk!
But, you obviously love him. So I say be a good friend. Tell him that for you, this romantic involvement is not what you ever wanted, and that out of love for him you gave it a try, but it's not working. I really do think it's possible to love someone of the opposite sex and have it just be a friendship. But, as When Harry Met Sally showed us, it may not be possible for everyone. He may not be able to handle just being friends. I think that's a mistake. I think a good friend, one who is willing to love you, is even better than a girlfriend in many cases.
As for his threat, if he's serious he needs serious help. Don't take this lightly. Too many teenagers think that their life is over when things don't go their way -- as you know, sometimes they take others with them. I would tell my parents first, or a school counselor about the situation. But, since he made threats, this is a serious issue.
But, you are not responsible for him. You clearly have made up your mind, and you owe it to him and to yourself to set him straight about the nature of your friendship.