„I am leaving for Italy” is correct.
FOR is a preposition with a few definitions.
One definition of for is to indicate, or show, a future goal.
„I am leaving for Italy” means that you are leaving your present place, and your future goal is to arrive in Italy.
TO is also a preposition, but it shows movement toward a place.
So, you would not say, „I am leaving to Italy”, because „leaving” does not indicate movement toward a new place.
You could say:
1. „I am traveling to Italy.”
2. „I am driving to Italy.”
3. „I am flying to Italy.”
4. „I am going to Italy.”
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