If the strength in your religious beliefs are strong enough you may well feel that choosing to get right that which is paramount in existence itself, transcends the loves and desires of someone in this earthly life. From what you said I'd say it was not reasonable to go looking for the answer in anything you have or have not done, or are or are not. You would just be giving yourself additional grief for no reason, for no benefit. He's told you why he wishes to leave, you need to accept that rather than look for an answer you'd prefer.
As for him thinking something is going on, well who knows what the cults believe except those involved. Probably belief in another Rapture or something most like. Haven't had one of those for a few days now.
You consider your life's relationships paramount, and that is good. He has presently decided his belief is paramount. It is best you mourn over the loss of the relationship for a bit, and then pick your life up again. Besides why would someone want a partner who didn't put them as priority, save perhaps fear of being alone for a while. Let him go, it's his decision, his loss. You will survive stronger and eventually look back with relief.