Try to recall his face and report the police ASAP!
His behavour was criminal. You should call 911 and report the whole story to the police. Don't worry, the police will comfort you and provide necessary help to you.
When you got threatened, what will you do? - I met a man today on my way home. He came to me and said "Go back to China. Otherwise I will kill you. I kill whole bunch of people. I mean it."