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If you think the person is serious, and not just mouthing off due to something like being drunk, then you definitely need to report this to the local police to establish that this person is threatening you and if it came to it, you would have the "paper trail" of reporting this to back any defensive actions you might be forced to take.
And you need to file it locally so it gets entered into their records. I would also file an incident report with the taxi service as well just to further document it.