Threatened law suit

I received a call on my work phone and my home number informing me that charges have been filed against for on three counts for check fraud, failure to pay, and internet fraud on behalf of Cash Advance USA. When I told the guy that I am contacting my AG and filing compliants, he told me to go ahead. I also told him to stop calling me at my home or my work. He said that he will not discontinue calling me and that he promises me that I will be fired from my job by this afternoon. Then he said that he will F--- me. It stunned me that he said that and I thought I misunderstoon him because he had an Indian accent, so I said excuse me and he repeated it again. Then he said I sound like a prostitute. That's when I hung up the phone. What can I do about this? This person has my social security number, my address, he doesn't have my bank account anymore because I closed it, but I am shook up about it.