How do I leave the Companions?

I want to know if there is a way to leave the Companions, because I want to join the Thieves Guid and take some armor. I killed 4 of their members and all they did was say "I'm getting out of here" or "someone do something".

I just want to leave both guilds without killing them. Is there some quest or mission or something that allows me to leave a guild?

There is no way to leave the Companions. Jorrvaskr 4 Life, yo. You can also go on with both of those guild's questlines while being a member of both guilds.

I killed 4 of their members and all they did was say "I'm getting out of here" or "someone do something".

Depending on which guild you're talking about, try leaving Riften (Thieves Guild) or Whiterun (the Companions) and wait for at least 48 hours, come back and see if the Thieves Guild or the Companions has calmed down.

You can also try casting the Calm spells, to calm the panicking guild members.

Dude. Stop for breath. You can join the Thieves Guild as well, I was in both when I played it. There's no way to leave The Companions.

Alan B is right, you cannot leave groups, but you can join multiple groups. The only exceptions are:

• Imperial Legion AND Stormcloaks
• Dawnguard AND Volkihar Clan

Source: http://elderscrolls.wikia.com/wiki/Factions_(Skyrim)