In the final stanza, the poet writes:
Could I revive within me
Her symphony and song,
To such a deep delight 'twould win me,
That with music loud and long,
I would build that dome in air,
That sunny dome! those caves of ice!
It appears the speaker longs for (or is even envious of) Khan's somewhat mythic abilities described in the poem, namely the power to create something beautiful. When he would complete the great creation he longs for, the speaker believes people would revere him as a supernatural being, one which you would have to "weave a circle round him thrice" as protection from his power. There is a certain fear of those who have passed beyond mortality into the supernatural, and that fear of the supernatural could be what Coleridge is trying to assert in this final stanza.
It should also be noted that he (apparently) wrote this poem after waking up from an opium dream, was interrupted, and forgot most of the lines. The last stanza was written after he came back from this interruption, and in his preface to his poetry collection, "Christabel, Kubla Khan, and the Pains of Sleep", he wrote about it, saying,
Yet from the still surviving recollections in his mind, the Author has frequently purposed to finish for himself what had been originally, as it were, given to him. but the to-morrow is yet to come.
As a contrast to this vision, I have annexed a fragment of a very different character, describing with equal fidelity the dream of pain and disease.