The answer to this question can be found in Act Three, Scene Two of Romeo and Juliet. When the Friar tells Romeo that the Prince has given him the sentence of banishment instead of death for the murder of Tybalt (as Lady Capulet in particular had demanded), Romeo responds by saying "exile hath more terror in his look, much more than death." In other words, he would prefer, he says, death to banishment. He is, in fact, hysterical over the prospect, saying that the world outside Verona is "purgatory, torture, hell itself." Of course, his grief really stems from the knowledge that he will be separated from his new wife, Juliet, as he makes clear:
Heaven is here,
Where Juliet lives; and every cat and dog
And little mouse, every unworthy thing,
Live here in heaven and may look on her;
But Romeo may not.
The Friar thinks this is madness, and that Romeo should be grateful to have received what he regards as a fairly lenient sentence. He bitterly chastises the weeping Romeo, telling him that all is not lost. Assuring him that he will come up with a plan to bring the couple together, he tells him to visit Juliet before departing the town. His plan, of course, will not come to fruition, as the audience has known since the Prologue. Romeo's banishment will result in his death as well as that of his beloved Juliet.