Lady Macduff is furious that Macduff left her. Ross tries to persuade her that Macduff must have had a good reason to leave without a word. Lady Macduff's mind is made up. She even tells her son that his father, Macduff, is dead. She also tells her son that Macduff is a traitor. However, the son is quite clever and says that if Macduff were really dead, she would be crying.
Lady Macduff is stubbornly convinced that Macduff is a traitor and his leaving is proof. Therefore, she will not leave as he did, even when a messenger comes to warn her of the approaching danger.
The first murderer says that Macduff is a traitor. The son calls him a liar and is stabbed. Lady Macduff flees the scene shouting "Murder!" We don't learn for sure that Lady Macduff was also killed until the next scene when Ross informs Malcolm and Macduff:
Your castle is surprised, your wife and babes
Savagely slaughtered. To relate the manner
Were on the quarry of these murdered deer
To add the death of you. (IV.iii.205-08)