he threatened to kill me if I cheat on him...

So my fiancé is normaly very level headed and calm. But the topic of cheating came up and he said that if I ever cheat on him he would most likely kill the guy I cheat with, kill me, and probably himself. I told him he scared me and he was really freaking me out, I told him he was crazy and he needs help. I also told him cheating isn't something I would ever do. His response was well if your not cheating on me then there is nothing to worry about right? He thought it was weird because if I have no intention to cheat then why was I scared? Guys I need a response to this! No I would never cheat on him or anyone EVER! Then why am I still so scared?