My request for h1b to H4 VISA is denied. I currently have a h1b petition (premium processing) pending. Should I leave US ?

I was on h1b status from Dec 2012 to July 8, 2014. At which point my employment was terminated. "Three weeks" later I filed for a change of VISA (I539) application. I requested an H4 visa since my husband is on H1B. (Although my employer terminated my employment on July 8, USCIS had not revoked my h4 status till Aug 25 ) On October 7, USCIS sent me a letter saying that "during filing of my h4, my stay in US was illegal and to provide a reason for the three week delay?" To this I immediately responded that I was under legal status until Aug 25 and gave them the USCIS document. However on Nov 7, USCIS rejected my h4 petition saying I did not provide a reasonable explanation for the delay, and am hence out of status and should leave the country. In the meantime another employer has filed for my h1b (on Nov 5 under premium) . Should I leave the country since h4 was rejected or do i wait for h1b decision ?