Yes you should report to police. You can find a person who can speak Chinese by call 911.
The most things you need to do is just regard him as a mad dog and rejoice yourself soon, you should be proud as a Chinese! Call your best friend and talk to them, recall your previous happy times in Canad!
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."