If you have any reason to be concerned or frightened by the message you should immediately pass the information on to your local police station.
There are a number of companies that offer the service to send SMS from your computer so if you are keen on finding out who sent this you would need to know which carrier owns the number you need to use a carrier lookup service. One of which is TextMagic. Once you have the carrier you can contact their abuse department. Of course, as mentioned, it is also possible to spoof a number and this doesn't necessarily solve your direct problem.
Again, depending on your situation, the content of the message and whether you believe the threat to be real you really need to make sure you provide this message to the relevant authorities and potentially look into your own personal security until you have a resolution to the matter. It is important to share this information with people close to you so they can potentially assist you and at the very least be aware of your situation.
Make sure you keep the information. The number and the message. Try, if you can, to look for patterns in the message (specific language, spelling mistakes, grammatical errors or nuances) that might help you identify the sender or at least give you some insight into the individual. There are plenty of idiots in this world some of whom think it is funny to frighten people but in this scenario it is always best to err on the side of caution and do whatever you can to ensure that you are safe.
If you aren't getting anywhere by yourself you could enlist the help of a PI to get to the bottom of who sent the message.