Did the other player online send that threat in a message or while they were playing inside of the game?
You said you blocked the user so i am assuming that it was in a message. If it was in a message, you can report
the other person in the method below to have PS review and either give him a ban/warning/delete his account.
To report offensive content on PS4 simply highlight the content that is causing you offense, press options, select "submit grief report" and then choose the appropriate reason.
On PS3 and Vita, highlight the content that is causing you offense, press Triangle, select "submit grief report" and then choose the appropriate reason.
It's also worth noting that you should only report an Online ID if the Onine ID itself is offensive. If someone has sent you an offensive message, or left a rude comment on your PSN Activities, you must report the specific message or comment.
This is how you get to that report.
You can report the person by pressing triangle on one of the messages, and then selecting "Grief Report".
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