If someone said that because of an Internet fight, then I'd ignore him and just stop talking to him. It's just an idle threat made by an idiot.
On the other hand, if it were someone with a history of violence (for instance someone who's taken a gun to school, has been known to torture animals, frequently beats on others, is taking heavy drugs, etc.), then I'd call the police or, if it's a minor, whatever authority deals with those cases.