"Have to split" in the film "The Running Man"

It's a pun on the word "split", vs. the idiom "to split". In English, a common, informal expression is "having to split" for "having to leave". (This comes from leaving a group of people being effectively the same as splitting off from them.)

The verb split itself, of course, can mean to be literally split into two halves.

In this case, we had a pun because the man (Buzz Saw) was split into halves. Another man asks where Buzz Saw went (implying that Buzz Saw is absent at this point, i.e. has left). Schwarzenegger says that Buzz Saw has left (he had to split). Unbeknownst to the asker, however, Schwarzenegger also literally split Buzz Saw in two.