Within the dojo report this directly to your sensei and do NOT train with this person.
If you have been threatened with assault / assaulted outside of the dojo report this person to the police.
Sounds like bullying. Yes, report to the police, even if you do not yet receive any injury, a report can be used later as supporting evidence that the said person has previously threatened you before. It will help in your case, should you press charges under the penal law or taking a civil law suit against him in the future. Good luck.