As indicated by some of the earlier posts, it's a question born out of fear. And it may well be rhetorical, as steve2 says. That doesn't mean there isn't a good answer we can give. I think it's better to cut to the heart of the matter; frankly I don't care if Peter said "who" or "where" because the thought being expressed by the Witness is "I can't imagine life without the Watchtower" and we need to reply to what they're really meaning to say, not split semantic hairs.
Maybe we can say something like, "Well, I'm going to start living like this life is the real life. All the stuff we wanted to do in the new system? I'm going to work towards that now. Sure, maybe I'll never get to pet a lion, but I can work hard, enjoy the rewards, take more vacations, move some place nicer, enjoy life just as God said he wants us to, etc. Why are you acting like life has to end without the religion, when we're always being told that 'this isn't the real life' to begin with? Life is just getting started for me!" Or we could just talk about some personal ambition that we have, whether it's creative, or wanting to do something to contribute to society, etc. Maybe our optimism and ambition will rub off on them.
I'd like to share a theory here which I've been pecking away at. Coming back to what steve2 wrote, "Actually, the strong fear-based inclination of humans to remain in unsatisfactory situations for dubious reasons such as not letting themselves generate alternatives is not confined to religious affiliation." Personally I suspect that the reason for this kind of inertia is that most people do not feel that they have a lot to contribute to society. This is a subconscious feeling, not something that someone will usually think or say out loud. It's an inner sense that "I do not have enough talent to make a difference in this world" or "I'm not good enough to achieve at a higher level instead of sticking with the status quo." The ones who leave the org. with a positive mindset ("I'm going to live a good life", not "I'm fed up with this $%^#" or "I'm DFed and I feel like a piece of crap") are the ones who have an innate, pre-existing drive to do something with themselves; they know they have capabilities and they know they are worth something as people.
This is a tricky problem to solve because it seems to involve something fundamental in each individual. Think about people growing up in the slums. Most of them will never leave. A small number actually do, and these are the ones that feel that they can amount to something. Maybe they feel they're better-looking, smarter, stronger, or more creative than the people around them. But it has to start with their own inner feeling about themself. (Amazing, eye-opening, touching and very relevant article, but too lengthy to discuss here: Invisible Child; I suggest taking a couple hours to read it.)
If it's true that this is something in-born, we might feel, "Well then some people are just screwed, aren't they? They're not endowed with the right genetic basis for feeling that they have enough talent to make something of themselves without the Watchtower, so they'll always be a Watchtower slave." We can't really say whether some people have more talent than others; a lot of people probably have undiscovered talents. Also, some people are temporarily damaged, or sitting on a borderline between wanting to stay and wanting to leave; we can help these people, but it takes time; no pithy response to "Where will we go away to?" is going to do the trick. We have to make them realize that they're better (morally, intellectually, perhaps even physically) than they think they are, which requires an investment in time and emotion.
So for some JWs, it might be that we just need to give them a little push -- leading by example and showing them we're not afraid of the world out there. They'll be impacted by this, they'll dwell on it, they'll realize they have some real living they want to do too, and in time they'll leave the WT too. For others, well, some people are charity cases :-) But if we care for them, we'll take the time to build them up step by step, just in case they can be saved.
