Call the police and make a report.
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You can do a couple of things to protect yourself. First, save and print out the threatening e-mail and report it to the police. Secondly, you can block that person from sending you e-mails through your e-mail service. You can do that as well to prevent future unwanted e-mails from coming through.
Posting an answer to your question does not create an attorney / client relationship such that you can or should rely on the information provided herein to take action. Instead, it is intended to simply provide you with information. I am not your lawyer and cannot provide you with legal advice unless and until I am hired to do so.
Threats are subjective. Only you know if this is something to worry about. If you are concerned you should hire a professional to look into it as the police surely will not do much for you.
This is not legal advice but a general comment on society based on a limited set of hypothetical circumstances. No one should act or refrain from acting based on these comments without seeking appropriately licensed legal or professional advice. The author disclaims all liability in respect to actions taken or not taken based on his comments.