No, that's not a legal move. When you are in check, you have to do anything that will stop you being in check, so any of:
- Move king to a field not attackable by opponent pieces.
- Move one of your non-king pieces in between to block the attack path. Not possible against the horse because it jumps.
- Kill the opponent's piece that is threatening your king.
The real world analogy to your situation is that you are the leader and you are in the enemy sniper's scope and you know it. Your reaction is to move your men into position to kill the enemy leader. While your men are moving into position to surround the enemy leader, their sniper kills you. So even if hypothetically your men manage to later kill their leader, you still died first. You effectively committed suicide for a chance to take the enemy leader down with you.