The former cricket legend has led country-wide protests after his ouster from power last year and has had a spate of cases registered against him.
The police unsuccessfully tried to arrest him on Tuesday, leading to intense clashes with his party workers.
"I have made a committee which will obviously take decisions once - if - I'm inside" jail, the 70-year-old said in an interview in his Lahore home before heading to Islamabad early on Saturday.
He said there were 94 cases against him.
Khan, who was shot and wounded while campaigning in November, says the threat to his life is greater than before and asserted - without providing evidence - that his political opponents and the military want to block him from standing in elections later this year.
The military and government did not immediately respond to requests for comment.
Prime Minister Shehbaz Sharif's government has denied being behind the cases.
The military - which has an outsized role in Pakistan, having ruled the country for almost half of its 75-year history - has said it remains neutral towards politics.
Khan said there was no reason he should be arrested now because he had bail on all his cases.
If convicted in a case, Khan could face disqualification from contesting the elections scheduled for November.
"The establishment right now somehow feels threatened by me. And that is the issue," he said.
The police attempt to arrest Khan led to clashes in which dozens of people were injured.
"My life is even more at threat than it was then," he said, adding that he was worried about the reaction to his arrest or any attempt to assassinate him.
"I feel that there would be a very strong reaction and it would be a reaction all over Pakistan."
The former prime minister has generated popular support among Pakistanis amid decades-high inflation and a crippling economic slowdown as the country implements painful fiscal reforms to avert default.
Thousands have rallied behind him every time he has called for demonstrations.
"I just think that those who are trying to do this just cannot comprehend the situation," Khan said.
"Unfortunately, the mind that is thinking of either killing me or putting me in jail, I don't think they comprehend where Pakistan is situated right now."
Khan said the military had had a role in pushing him out of power after relations soured with the previous army chief, General Qamar Javed Bajwa, who retired in November.
He said the new chief, General Asim Munir, was following the same policy.
The military has previously denied his claims.
"Throughout our 70 to 75-year history, you know, (the military) have a role," Khan said.
"But that role has to be balanced now.
"You have to have that equilibrium now because that previous balance is not workable anymore."
