What are the Consequences for this?

So this guy who is the ex-boyfriend of my girlfriend keeps harring me online. He never says explicitly that HE will do anything to ME, but he tells me stories of what a random person would do to this other random person, like "he walked into his house and shot him in the kneecap" so, you see, he never directly threatens me but I still feel threatened. What an happen to this person if I call the police? Also, this online service through which he talks to me is from a dating site...thats where he met his ex and now my girlfriend. The way it works is when someone IMs you you have a choice to either accept it or reject it. IF you reject it it goes away until they IM you again, but you can never actually see the message unless you choose to see it. Any thoughts? Anyone?