Not unless you want to get kicked out of Upwork. Check the Terms of Service. If a client contacts you through Upwork, then the job must stay in Upwork. It's likely a scam, anyway.
I checked the job you are referring to and it looks like it's already been canceled for violating Upwork TOS. You'll notice that the Message room with the client has also been archived. Please, check out the tips in this post to make sure you stay safe and protected while working on Upwork.
Also, please check this help article for more information on how to use the flag option to report any inappropriate content.