The point is you can't leave, at least not without serious hardship (financial and otherwise) to yourself and family. You settle in Dubai, move around the world, give up seniority at home to go there, and they know it.
EK also has little to no trouble (with the occasional exceptional periods in the past) attracting qualified candidates that believe its the Shangri La of aviation. Therefore Ek has little or no incentive to do anything at all to recognize pilot complaints and act on them, hence the retort..go ahead and leave. Its been like that for an awfully long time and it seems to work for them because rarely do enough people leave at one time to cause issues for reasons stated above.
They kinda got you by the short and curlies. There is (good) life after EK should you end up leaving though.