Tried Reaching Out To Some Escorts A Few Nights Ago And Got Cold Feet. Now I Have A Guy Saying He’s Going To Kill My Family???

So like the title says, I had a birthday recently and thought it’d be a fun one time thing to have an escort over. After reaching out to a very select few women I decided against it and just didn’t respond anymore. I had a random guy start texting me two days ago sending pics of decapitated corpses and such saying he’s going to murder my entire bloodline for “wasting his girls’ time.” I kind of would like to go to the police but want to know if the reason that the guy is reaching out and threatening me would implicate me and get me in any trouble. Any advice would be greatly appreciated, thank you.