"No no you will die" in defense of the guy who showed nothing but disrespect to Anakin his entire life. Whom Palpatine managed to shake confidance with. Through his entire life Palaptine was his friend and Windu was quite frankly not kind and distrustful. But, Anakin is not empty headed. Had he gone with Windu to arrest Palps then Palps would not have been able to react as he did.