I think, he is just so angry that he could not think objectively right now, he did not mean he would leave Italy, he only gave message that he does hate what he received lately. He has full backup from players, coach, even Silvio Berlusconi who said that Milan will break the game off if the incidence appears again even in international game.
"When Costacurta and Maldini won they didn't celebrate much. They were thinking about winning the next game" - Alessandro Nesta