He's threatening to kill himself if I leave him. What to do?

He physically abused me, verbally abused me, stared at other females in front of me, downloaded sneaky ass apps to hide numbers. I'm currently 2 months pregnant by him and we're in a relationship and today I wanted to end things and he sent a picture threatening to slice his arm. He also cried in front of me one day about us breaking up saying he's attached emotionally. But how can you treat someone like shit and threaten to kill yourself if they leave?
He's threatening to kill himself if I leave him. What to do?
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