The Individual belongs to Lord Krishna

Lord Krishna assures us in the Gita. He says: "The body belongs to mud. Hence it gets back into the mud. But the individual within the body belongs to me. The Jiva cannot find peace unless he merges within me. I keep changing the course of Jiva's life only to turn him towards me. I do it only for his good."

But the individual doesn't understand it'. What else do we need? The Lord Himself is saying: 'Individual belongs to Me'. So what is there for us to fear?