At first I will make sure that email does not get deleted by me by mistake, so that I can present that to the authorities if needed. Also, I will not reply to that email myself.

At my workplace, there are HR policies against anybody who tries to threaten us at workplace, we need to contact our Human Resources department for this, so that appropriate action can be taken against the sender of the email.

Also, if HR is not reachable at the moment, my manager can be informed about this and he inturn can escalate the issue. The action to be taken will be decided by the HR$/$management solely based on the organization's policies hence, once reported my role doesn't exist much except to follow up$.$