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The queen is stronger than the king being able to move as far as she wants while the king can only move one square at a time. This is a classic case of the strong protecting the weak. Also, a king is a leader, the one in charge, head of state. Losing one's head means failure and loss.
Your next move must take the king out of check, either by moving him out of threat, by blocking it with another piece, or by taking the attacking piece. A king cannot castle out of check.