What to do with a threatening wrong number?

Hello, I'm in the USA, and a number from a different state called me saying "I'M GONNA SHOW YOU WHAT YOU DESERVE".

I responded something to the affect of "woah woah woah, calm down man, this is a wrong number."

He responds "DON'T CALL ME "MAN..." YOU'RE GONNA GET WHAT FOR TOO"

I (stupidly) respond, "Hey, I'm sorry, I hope you can find peace" (I know, very stupid I dunno what I was thinking)

He responds a day later "YOU DON'T KNOW WHAT YOU HAVE IN STORE FOR YOU, PLAY STUPID GAMES, WIN STUPID PRIZES"

Should I like, call the police or what? This person is clearly unstable and it's freaking me out, maybe I should try to help the people he meant to threaten in the first place by reporting him too.

EDIT: I've blocked the caller of course, and screenshotted everything. I'm kinda worried if I report them to the police that'd make them more mad and try to hurt me or something? I have pretty bad anxiety and this is quite difficult for me