Report it to the police, if only to get the incident logged. If this person then approaches you again in this manner - for a 2nd time - it's then able to be classed as harassment.
+1
How dare they! Someone called on one of my customers last week:
Hello I'm the official window cleaner for this road and I will charge you so much for cleaning your windows.
Customer: no your not, my window cleaner has been coming down this road for 13 years.
Windy: how dare he come on my patch!!
Custy. No I own my house and I will have whomever I choose to clean my windows you don't own the road. Now clear off!
You gotta laugh, but threaten is absolutely not on. Report it to the police they will have to log it and if there is a second incident then they will be in trouble. Don't stand for it.
Chez