After the war, many of the soldiers captured said they would be killed if they did not follow orders. But that is not true. There are documented statements by SS members, SS Einsatzgruppe (killing squad) soldiers, German policemen and others who refused to carry out such orders. None reported being threatened with death, concentration camps or demotion. They were simply allowed to refuse to shoot men, women and children. The most they endured was being called a coward.
The question then is: Why did other Nazi soldiers obey the orders to murder the Jews, and some even delighted in the killing, when the option not to do so was available? Most likely this question will never be answered.