Landlord is not paying security deposit.

Hey all. I rented a room in a house (in Illinois, US). I signed 1 year lease but I left early with 1 month notice as per lease agreement. The landlord asked me to change address on all my govt documents which i already did. I also send the proofs on a text message. Now the landlord is threatening me and not giving me my security deposit back. The landlord threatening me that he will contact a lawyer and call my workplace and immigration (as I am a foreigner). I want to know what are my legal options here.