The entrepreneur made the announcement shortly before 2 p.m. MT and said the choice was a "tough decision" for him and his family.
They had planned to spend six days in Sochi to support Canadian athletes competing in the 2014 Olympic Winter Games but decided the risk of an attack was just too great — and he's not alone.
Members of Canada's official delegation have been discussing with their family members about whether it is safe to attend the Olympic Games.
Some athletes are also telling relatives to stay away.
"The security threat to the Olympics, this particular Olympics, is the greatest I have ever seen," said Michael McCaul, chairman of the U.S. House Homeland Security Committee.
The venues are now among the most tightly guarded facilities in the world but officials are worried the rest of the town is more vulnerable.
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Islamic militants worry planners
More than 100,000 police, security agents and army troops are in Sochi for what Russia has promised will be "the safest Olympics in history," but there are widespread concerns of a possible terror attack.
With unrest in the Caucasus, security experts say the biggest threat comes from Islamic militants and jihadists who may have infiltrated Sochi before security was tightened.
There have been 124 suicide attacks in Russia over the past 13 years.
Sochi's transportation network is often cited as being particularly vulnerable to attack, as could planes flying low over the sea towards the airport.