Existing research has highlighted the benefits of self-sacrificing leaders in the workplace, yet there has been limited exploration into whether employees actually wish to follow such leaders. Grounded in the moral affect theory of gratitude and social exchange theory, our research focused on why leader self-sacrifice had both benefits and drawbacks and considered the role of employee power distance orientation in shaping these effects. Using data collected from 459 employees in three waves, we identified a dual pathway—employee gratitude (i.e., negative pathway) and employee indebtedness (i.e., positive pathway)—in the linkage of leader self-sacrifice and employee intention to leave the leader. The results demonstrated that high-cost and altruistic acts of self-sacrificing leaders are more likely to stimulate employee feelings of gratitude, which in turn reduces employee intention to leave the leader. Conversely, leader self-sacrifice exceeds normative reciprocity expectations, thus fostering a heightened sense of indebtedness among employees and increasing their desire to leave the leader. Additionally, our findings indicated that employee power distance orientation affects employee reactions to self-sacrificing behaviors; employees with high (versus low) power distance orientation would feel less indebted toward self-sacrificing leaders and less likely to leave their leaders. These insights offer significant implications for both research and practice.