It’s an allusion to part of a verse in the Bible.

Revelation 6:8:

And I looked, and behold a pale horse: and his name that sat on him was Death, and Hell followed with him.

That is, to say that Hell is coming with you is to say that you are Death. It’s an oblique way to say that you’re going to kill someone.

Tombstone makes the allusion as well.

https://www.youtube.com/watch?v=ynKoZD-sFi4

The Cowboys are finished, you understand me? I see a red sash, I kill the man wearing it! So run, you cur, run! Tell all the other curs the law is coming! You tell them I’m coming, and Hell’s coming with me, you hear? Hell’s coming with me!