When your bully coworker says: "I dare you to go to HR!"

He was running his mouth and was pushing my buttons and he could tell i was about to lose it and he said "what ya gonna do? Go to HR and say im creating a hostile work environment?" And I responded with "if you don't shut the fuck up I might" and he responded with that smug grin he does "go ahead I dare you, see who they believe!"

So what do I do? The unfireable employee already called my bluff and the company WILL take his side...and so what do I do? If its investigated im fired like all the other people who stood up to him