He’s afraid he’ll be martyred. Don’t forget, Navalny returned to Russia willingly right after releasing a documentary on Putins secret mansion. It was allegedly to put Putin in the awkward position of choosing between keeping an opponent with popular support alive, and killing him and potentially motivating the masses. Locking him away somewhere distant and keeping him there until he’s forgotten about is probably the best way to get rid of him. I’m pretty sure most Russians know that the legal system is a farce.