Malicious, abusive or threatening calls, whether from people you know or from strangers, are a criminal offence. If you receive such a call you should immediately call your phone company and ask for their nuisance or malicious calls team.
It doesn't matter whether you know the caller's identity or not. Simply tell them what the caller said. In some cases, particularly if the caller is threatening, your phone company will advise you to call the police. You may be offered 'anonymous call rejection' from your provider which may prevent these kinds of calls in the future (ask your provider if there's a charge for this service).
Although this may stop abusive or threatening calls, you should be aware that such services may also block some calls you might want to continue receiving, such as some calls from overseas.
Direct threats - If the caller is making direct threats to you or your family and you believe those threats to be real and immediate, you must call 999 straight away. If you believe that the threats made are not immediate, then you should call your local police station (101 from any landline or mobile phone).