threatening to kill over cheating?

So there's no way in hell I would ever cheat on my fiancé, but the topic was brought up, and he said that if I ever cheated on him he would kill the guy I cheated with and me. And he looked completely serious. Idk why but this bugs me and frankly freaks me out a little. I asked my friend about it and she said cheating normal brings out the crazy in people and it's normal. My fiancé said that if I don't plan on cheating there's nothing to worry about, and I know he's right, but I'm still freaked out. Is this normal or should I just let it go?