please, just go

I girl usually says this while crying or is about to begin crying because she is ashamed to cry in front of you. She also thinks it will make you think less of her.
There are two things to do in this situation:
1) Do as she ask and leave
or
2) Sit down/stand next to her and put a comforting arm around her, and just try to make her feel better. The worst that can happen is she tells you to leave again.