Here's the statute in North Carolina for communicating threats:
§14-277.1. Communicating threats.
(a) A person is guilty of a Class 1 misdemeanor if without lawful authority:
(1) He willfully threatens to physically injure the person or that person's child,sibling, spouse, or dependent or willfully threatens to damage the property of another;
(2) The threat is communicated to the other person, orally, in writing, or by any other means;
(3) The threat is made in a manner and under circumstances which would cause a reasonable person to believe that the threat is likely to be carried out; and
(4) The person threatened believes that the threat will be carried out.
(b) A violation of this section is a Class 1 misdemeanor.
Here, he stops short of actually threatening to injure you. He says only that he does not know what he would do, so the threat is only implied. But if his words would reasonably make you fearful for your safety, I would argue that yes, you could report this and get him charged with this misdemeanor if you wanted to get a protective order and/or have him prosecuted.