Yeah my wife got this same call. So we called the San Antonio police dept. And they would not take a police report. So apparently. You can call and harass people posing as a DEA agent. And get away with it.
Of course not!
That is not in their jurisdiction, and there was no plausible/immediate threat to you.
If you REALLY want to complain,
Here are two pages of links to (mostly government) sites in Canada and the USA were you can report phone scams, or learn more about them.
Look here first:
http://800notes.com/arts/I2neMkbUAAo/where-to-report-phone-crime
If the reporting site you wanted is not in the above list, try this one:
http://phonehelp.2truth.com/complaint_sites.html