There may be many explanations for this type of behavior. He may have been exposed to argumentative parents and decided he would never argue. Unfortunately, he considers any discussion as an argument and walks away. He may take every complaint as a personal attack and rather than discuss things, he defends himself by walking away. Whatever the reason, this is absolutely poison to a marriage.
Marriage demands serious communication.
The only way two people can make a relationship work is to share feelings and opinions, discuss differences and work out solutions. You may be right that he thinks you won't carry out your threats to leave. But, if there is any chance of saving the relationship, you have to find some way to convince him of the importance of talking things out. I'd suggest that you pick a quiet, calm time to approach him. Make sure you stay very calm and choose your words carefully.