If you'd like to say "I'm leaving.", then, you should "갈게요". "다녀올게요" includes both of leaving and coming back soon. For example, when kids go to school, they say "학교 다녀올게요"/"학교 다녀오겠습니다" to their parents, or "화장실 다녀올게요" is also an example to use "다녀올께요."

Someone who says "갈게요" may be just a visitor. It implies that he or she may come back or not. On the other hand, "다녀올게요" must be said by a member of the family who must be come back later.