Patrick Maloney's exact words are never revealed in the story, which is important in building the sense of confusion that Mary Maloney feels upon hearing his words. Although she is a doting wife, her husband's actions are peculiar when he comes home from work on this day. It seems that they have a ritual upon his arrival home; Mary is expected to serve him and remain quiet, which she faithfully does. Yet Patrick's behavior is odd, even for him, and the text notes that he does "an unusual thing":
He lifted his glass and drained it in one swallow although there was still half of it, at least half of it left.
These are the actions of a man trying to steady his nerves. He then begins refusing every effort Mary makes to serve him. Patrick declines wanting his slippers or a snack and sits fairly resolutely before his wife.
Patrick then tells Mary that he has something to tell her, and Mary becomes frightened by his words. This section of the story is rushed:
“This is going to be a bit of a shock to you, I’m afraid,” he said. “But I’ve thought about it a good deal and I’ve decided the only thing to do is tell you right away. I hope you won’t blame me too much.”
And he told her. It didn’t take long, four or five minutes at most, and she sat very still through it all, watching him with a kind of dazed horror as he went further and further away from her with each word.
Patrick's reasoning isn't provided, because his reasons don't ultimately matter. He has decided to leave his wife, as demonstrated by her reacting with a "dazed horror" and retreating within herself at this news. It's quite possible that Patrick has been having an affair based on a comment he makes as a follow-up to this initial news:
Of course I’ll give you money and see you’re looked after. But there needn’t really be any fuss. I hope not anyway. It wouldn’t be very good for my job.
Patrick is worried about his reputation, which hints at the fact that he is leaving for some reason that might bring him additional shame. The fact that he immediately offers to pay Mary to see she's "looked after" conveys a sense of guilt in the situation, which is likely an affair.
This is a particularly cruel time to leave Mary, because she is pregnant. That detail is found in the beginning of the story:
Her skin—for this was her sixth month with child—had acquired a wonderful translucent quality.
After she kills Patrick, Mary is ultimately not concerned for herself but for her unborn child:
What about the child? What were the laws about murderers with unborn children? Did they kill them both—mother and child? Or did they wait until the tenth month? What did they do?
Mary Maloney didn’t know. And she certainly wasn’t prepared to take a chance.
Mary thus develops a quick and successful alibi to clear herself from suspicion in her husband's death in an effort to protect her unborn child.