This threatening seems to be just that: a threatening.
You don't have to tolerate it, whatever they will really do, this is E-terrorism.
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 as an attachment within any professionnal 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 a dangerous place to live;
not because of the people who are evil,
but because of the people who don't do anything about it.
Albert Einstein