You have to immediately get your king out of check, either by moving your king out of check, blocking the check, or capturing the checking piece. In this case, the only way you can do that is to move your king out of check.
Do I have to move my king out of check in OTB blitz?

Then he captures your king and wins the game.
It's just blitz.

Then he captures your king and wins the game.
It's just blitz.
Yeah, that's the other possibility, lol.

I also want to know if it is ILLEGAL to leave my king in check.
Yeah, urk was implying that it's indeed illegal to leave your king in check.
My brother and I were playing an OTB blitz game and the following position came up. (I am playing white and he playing black).