If you are a major contributor in a niche community, you can publicize your move with info of how to keep following you and syndicate links to your content on your desired platform for a set time then leave. On your desired platform let followers from Xitter know how to follow you (email, rss, bridgy, etc) if they don't want to join your desired platform.
If you are mostly a content consumer or have FOMO, use a bridge not an account. DM all the friends you want to keep of where to find you then leave. Bird.makeup is a great Xitter bridge for the fedi.
In either case, there isn't a reason to keep am account there.
You really should encourage your contacts to use more secure channels than Twitter dms, especially for illicit behavior.