Man Threatened Me After I Blocked Him And Sent Me My Social Security Number. Should I File A Police Report?

I’m in the U.S. and I’m looking for advice on personal safety and identity protection—not relationship advice.
I recently reconnected with a man who has liked me since kindergarten. After my long-term partner passed away, he reached out to offer condolences, and we started talking again. He quickly became possessive and repeatedly told me that he had wanted me his whole life and that I had always chosen other people over him.

After an argument, I blocked him on my phone and all social media. He then contacted me from another phone number and sent me my home address, phone number, and Social Security number. He threatened to register me as a sex offender in multiple states, made threats involving my family, said he would “enroll me in the Army,” and claimed he would take over my Instagram account and use it to post disturbing content.
He has also told me that he wants to become an FBI agent, and he is studying cybersecurity, which has made me even more anxious about the situation.
I eventually spoke with him because I was afraid and wanted to de-escalate things. Since then, he has acted like nothing happened and insists that I owe him an apology.

Part of me wants to file a police report, but I’m honestly afraid of retaliation if he finds out I reported him. I’m not sure whether I’m overreacting or whether I should document this now before anything else happens.
Would you file a police report in this situation? Besides that, what practical steps would you take to protect yourself and your identity?

Location: NY