This threatening email seems to be just that: a threateningthreat.
You don't have to tolerate it, whatever they will really do, this is plain extortion.
Report it to:
your hosting company, by sending them an original copy of the threatening E-mail (with all headers in their original form: transfer. Transfer as an attachment within any professionnalprofessional E-mail client),
your national security agency or your specialised in IT police department with an original copy of the threatening E-mail.
[...] the world is in greater peril from those who tolerate or encourage evil
than from those who actually commit it.
Albert Einstein