Once he heard that the police are coming, he said he had to go. I bet he's afraid that they'll find out what he did.
Examples (Wiktionary)
Mandarin
但是他们做贼心虚，怕共产党阻挡他们的去路，更怕老百姓骂汉奸。
但是他們做賊心虛，怕共產黨阻擋他們的去路，更怕老百姓罵漢奸。
dàn shì tā men zuò zéi xīn xū ， pà gòng chǎn dǎng zǔ dǎng tā men de qù lù ， gèng pà lǎo bǎi xìng mà hàn jiān ．
But, with the cowardice of thieves, they fear that the Communists will block their exit and, what is more, that the common people will brand them as traitors.