This may be the result of something he has heard or overheard at school.
Children this age have very active imaginations, and see things differently than they actually are.
make sure you give him lots of physical affection, especially at night time, tuck him in and reassure him that you and all his family are there, and not going anywhere.
Do have a word with his class teacher - they are always very experienced, and will keep an eye on him and flag any concerns to you.
This is probably a short phase, and he will grow out of it, but try and ensure there is nothing untoward at school by asking about his day, friends, anyone he doesn't get on with, all in gentle conversation mixed in with other chat.
If it continues, have a word with the head teacher and raise your concerns. they are usually keen to help.