What should I do?

A few weeks ago I started dating a guy, the thing here is the fact that at the beginning I didn't want to have a relationship with him (I'm not completely sure to want it right now). We became very close because I used to help him with some subjects in school, and a few days after we started studying, he told me that he really liked me. At first, I told him that I didn't want a relationship because I was so scared because of my last relationship (emotional abuse and extreme jealousy) but he insisted. We continued talking and we started dating because I thought I was ready to do it, but then he started getting jealous about EVERYTHING, and started to tell me that I only wanted to get drunk and hang out with guys, that I was a bitch... And I decided to break up with him. It was a completely disaster because he went crazy, he told me that he was going to suicide if I leave him, he was going to hurt me and a lot of non-sense things. I don't know what to do, because I'm scared of what he can do but also feel guilty if something happens to him, because I kind of take care about him. Any advice? What would you girls do in the same situation?