Definitely report it to the authorities. If he is telling the truth, they can interview him and figure it out maybe. If he's lying, maybe they'll interview him and give him a real tongue lashing. It's definitely creepy to say the least.
Someone recently made a very veiled threat in my area against a local small airport because of the noise. He really was wanting to complain about noise and with his statements about "you might not want to know what I'll do if you don't quiten them planes down" he got a nice friendly visit from the FBI the next day. They took him very serious. Threats are never a good thing.