When someone calls you, threatens you, COMMITS A CRIME and says they will continue to do so against people you care about – they are already in trouble. They've decided that for themselves. You get to decide on if you're just willing to take the fall for someone who is literally trying to destroy your life.

Someone calls you up and makes vague threats to people you care about i'd suggest legal action of some sort, especially if the police phone tracking stuff is as easy as it is in movies.