A few people hit it on the head:
"Whom shall we go away to?" is used by the WBTS as a thought stopping technique. They have demonized every other religion; some directly, the rest by implication because they are not Jehovah's Witnesses. Any belief is labelled as "false religion" if it is not theirs.
We are virtually forbidden to read anything religious that is not printed by the WBTS. Attending another church is considered DAing yourself. Many JWs are horrified to even enter a church for a wedding or funeral. If the few times I tried the doors hadn't been locked, I'd have preached to the pastor of a church. I like C.T. Russell's initial idea of sharing his findings with church clergy and trying to get them to preach it. At least get them thinking about what they're teaching their flock.
Conersations with anyone who disagrees with JW doctrine are immediately terminated. Even in Field Service ® , no JW is supposed to accept any literature from the householder, even though the JW is carrying a suitcase full of books for everyone else to read. I always thought that was extremely hypocritical and I took what they had, read them, and returned them with Scriptural references for the people to see where they have been taught a wrong understanding. Usually someone who's handing literature to a JW is in "teacher" mode just like the JWs who go around knocking on doors, though. It's very difficult to get anyone to think openly once they're of the opinion they are your teacher.
I've tried studying with Mormons who came knocking on my door and it was like beating my head against a wall. When they knock on your door, they're there to teach you and no amount of Scriptural evidence that their doctrine is insane will get through. ...But I digress.
The Internet and education are Satan's tools, because they'll introduce poisonous ideas into your mushy grey matter that only the GB are qualified to fill with their Spirit-inspired wisdom. - dripping with sarcasm
The whole "Whom shall we go away to?" is a bluff that no JW is expected to call. It's like an abusive spouse saying "Go ahead and leave! Nobody will ever love you. I'm the best you'll ever get." It's reverse psychology after they've slanted the entire playing field in their favor, cutting off all of your exits and burning all your bridges; then they act like you're free to leave whenever you want, but you're expected to believe "I'm the best you'll ever get."