It is a pretty tasteless remark. Buuuut, it happens within the US too. Just try moving to Detroit sometime. Especially when I moved here in 2000, you'd have thought it was the deepest, darkest pit of Hell (well, it kinda was there in 2008 or so.)
Calm confidence is the way to brush that off. b*tch, please, if I wanted to get murdered I'd be staying -here-, not moving to Britain..