Agree with AC, if you can get the person on the wire to a safe situation (wire cut over water or soft ground at a low height) then do so but crashing the aircraft and killing/injuring several people for the sake of one on the wire isn't a good captaincy decision.
In many situations (OGE hovering outside OEI limits for example) your actions need to be pre-briefed so everyone knows what their priorities are - it will usually be the winch operator who makes the hard decision and not the pilot anyway.