Can the employer start legal action on the employee for non-renewal of employment contract?

I'm currently working in a transport company as a customer service executive for the past two years.

Now my visa expires on 10 March 2022 and I decided to not renew the contract and submitted the non-renewal letter to HR 4th MAR 2022.

Now they are saying they will not release me due to I need to inform one-month prior notice.

I am ready to work for one month from my non-renewal notice but they are not accepting and said that they will go legally.

Could you please advise?