Never go off with somebody in a situation like that. I recall reading in fact that those who do listen to a gunman and go off, instead of saying "screw this", and run away, are more likely to end up dead than those who say screw off and just bolt. The reason is that if he's going to kill them, he'll be more comfortable doing it in whatever private recluse he chooses, instead of broad daylight/public street at night. It's highly unlikely that he would kill somebody to show them who's boss if they run, vs. kidnapping them and letting them go later.