He probably would. Or rather, wouldn't let the threat of it put him off doing something - provided the bullets wouldn't kill him. He's not mad enough to go for it while he'd die.

'So why not kill the protecting leopards first?' He has a very pragmatic approach to taking out a target, i.e Just kill everything around it until you get the one you want.

'Or, I don't know...coat nails in silver, make a nail bomb and throw it at the whole lot of them.'

New and inventive ways to murder things - he should write a book. But he's only talking for the sake of it really. He couldn't care less whether Elizabeth takes revenge or doesn't.