1. Why exactly would he have been so sure that his Western support would prevent him from being killed? The Russian elite is not exactly made up of people who are squeamish about killing, and the risk to the elite from killing him would have been small.
2. Why not just stay in the West and do the unscrupulous adventuring from there? Sure, maybe the Western backers would not have quite as much use for you that way, but you'd still have a lot of influence and a cushy life.
Why not just "stay in the west"? And why hadn't Arafat stayed in Tunis and went to the west bank to be then poisoned there by the Mossad? (As the late Uri Avneri claimed)
Closer to the Russian reality, why hadn't Lenin stayed in Switzerland? And what was the end of prince Kurbskiy who tried to oppose Ivan "the terrible" from Poland?
My question is why Navalny would have believed that it would not be rational for Putin to kill him.
Lenin entered Russia at a more advantageous moment than Navalny did. The February Revolution had already happened. The government was new. Navalny, in contrast, entered a Russia in which the government was stable and had been around for a long time.
You don't need to assume that I've been brainwashed by Western propaganda. I generally distrust both the Western and the Russian mainstream narratives about geopolitics.