A revered prophet announces that the rapture has begun and that the chosen are being taken to heaven.
Around the world, there are no reports of anyone disappearing or suddenly ascending while plenty of the devout and desperate commit suicide by the thousands.
Unless the people killing themselves are all political figures and their death causes nations to fall into chaos I fail to see how a couple of thousand religious fanatics less in this world are a bad thing.
The horror would be that the biblical rapture is an actual real thing ..... and that no one, even (more like especially) the ultra religious are worthy of heaven.
Would make the whole thing rather pointless, wouldn't it? A god that sets standards so high that none of his creatures can live up to them is quite a dick, isn't he?
I interpreted it as, "the worthy are being driven to madness and suicide". Like, Lovecraft-type shit.
Your story tho.
Edit: alternatively, the ones who are worthy are the ones committing suicide with the belief they'll be raptured. So you're left with the dilemma: if I stay alive, will I miss the rapture; and if I don't, will I go to heaven? The ambiguity and uncertainty makes it terrifying.
The aspect that didn't quite click for me is whether a "revered prophet" making an announcement would be bona fide confirmation that the rapture is beginning. Incorrect rapture declarations -- if one even believes in the Christian Rapture -- have been made before and in those cases, no one has similarly been observed to be taken away to heaven.
Perhaps the horror could be conveyed by way of some sort of unambiguous definitely-from-God sign that the rapture has started. Maybe some kind of battle-royale sign in the sky that counts the number of people taken to heaven -- and it remains stuck at zero. Or taking a page from Liu Cixin's famous trilogy, have the counter be in everyone's field of vision, even when their eyes are closed.