The Lord is in his holy temple. David's reply to his timid advisers is an expression of absolute faith and trust in God. Saul may reign upon earth; but Jehovah is in his holy temple (or rather, "palace," הֵיכַל) on high—his throne is in heaven, where he sits and reigns.
What need, then, to fear an earthly king? Especially when God is not inattentive to human affairs, but his eyes behold, his eyelids try, the children of men (comp. Psalms 7:9; Psalms 17:3; Psalms 139:1).
His "eyelids" are said to try men, because, when we closely scrutinize a thing, we drop our eyelids and half close our eyes.