DM: "Alright, so your character walks off after refusing to go along with the group. Okay. Well, guess you can pack up and we will see you next session. I don't have anything planned other than what the group is doing, so, guess you won't be playing today. Bye."

Make it sting. Refuse to let them roll a new character and have them do the walk of shame. They made their choice So they can deal with the consequences of them.