How concerned should I be for my safety?

So one of my facebook friends (I have never met them in real life, but met them through a music making site) is having a bit of a breakdown. He’s had a few brushes with the law and I’d say they’re going a bit nuts. He’s convinced he’s going to jail or die, even though he got off with a fine in court. Lately he seems to have been blowing up at everyone he knows, and initiating fights, as well as getting involved in petty thievery. It’s been a few weeks I’ve spoken to him (for various reasons) but the reason I annoy him is by supposedly ignoring him and not listening to his tracks.
Anyway, earlier today he warned me that if I got on his bad side, consequences could follow. He knows what city I live in but doesn’t know the suburb I live in or my address. How worried should I be and what steps do you think I should take? I’m thinking I should report this somehow but what would be the smartest route to take?