Trivia: One puzzling point for newcomers to "Hellboy" through the cinema was the scene in which Hellboy rhetorically asks John Myers, "You know what'll kill me, don't you?" The question is left open and unanswered for the rest of the movie (and it remains unanswered in "Golden Army," as well). Long-time readers of Mike Mignola's comics, however, have known for years that the only thing that can kill Hellboy is ripping his heart out of his chest. This is precisely what happened in the 2011 Hellboy comic entitled "The Storm and the Fury," when the dragon-witch Nimue unexpectedly ripped out Hellboy's heart, killing him on the spot and sending his soul back to Hell.
Suggested correction: He was rhetorically alluding to his love for Liz, and how it is metaphorically "killing" him that they can't be together. He even blatantly nods in her directly after he says the line. You're looking into it WAY too far... it's not supposed to be an inside reference to the comics.