Maybe let the police know of the death threat, however, that's a risk you take when you're answering unknown calls. You can expect to hear anything and everything. Without any kind of answer, you wouldn't have heard anything from this idiot.
Eventually, the endless phalanx of cold calls disrupting the everyday lives of citizens will eventually lead to the abandonment of telephone service as we know it. The FCC has historically been responsible for enforcing this but now they do absolutely nothing. Our days are numbered.