"If something happens to me en route to Honduras, before the international audience, before the Honduran people, I speak to my wife, to my children, to my family, to my countrymen: General Vasquez Velazquez will be responsible for my assassination," he said.
But Roberto Micheletti, the interim president, has warned that Zelaya will be arrested if he enters Honduras.
The de facto government has been pressured by Arias to allow Zelaya to serve out the rest of his term but Micheletti has accused Zelaya's delegation of including people who have committed crimes against the state.
"Our delegation is comprised of honourable people, with a prestige known in our country," he said.
"In that other [Zelaya's] delegation are two people who have arrest warrants against them for committing crimes in our country."
Zelaya has called on Barack Obama, the US president, to impose sanctions against those who deposed him.
He was forced into exile on the same day that a referendum on changes to the constitution was due to go ahead.
The Honduran congress and supreme court had declared the non-binding vote illegal, accusing Zelaya of trying to make constitutional changes that would have allowed him to run for another term as president.
Zelaya has said that constitutional reforms are necessary to improve Honduran poor.