If you want to say who the recipient of the message is, you should say: He said to me, ‘I’m leaving!’ and use the preposition to+pronoun.
Haddii uu yiraahdo haa, isaga tag, waxaadna ku dhahdaa, anigu waxaan doonayaa qof Islaamka oo kaliya I bara asiga oo aan igula meeraysan kooxahaas.