"Where else are you going to go?"
I have heard that argument from the JW's since I was a child - I still hear it from my family.
Now that I am out it seems like such a silly argument. In fact, you could liken it to someone in an abusive marriage for years. They're used to the situation and somewhat frightened at the thought of change. Leaving their family, loosing some of their friends - "what will it be like?" - and their spouse argues "Where are you going to go? What are you going to do? You can't make it on your own"
But finally they leave the bad marriage, and after a period of "culture shock" they find a new freedom and peace and realize that there was a great freedom - a full life waiting for them just over that hump.
John 8:32 Then you will know the truth, and the truth will set you free