Should I tell him I'll leave him alone or just leave him alone?

I met this awesome guy at a club in Vegas and he found on MySpace. We keep in touch there a little, and I leave comments on the holidays like I do for all of my friends. He recently denied me as a friend on Facebook. Should I tell him I'll respectfully leave him alone or just let my actions speak and never contact him again? It's gonna be hard b/c I thought he was awesome!