I presume it's a cell phone?
Check with your provider - there may be a way to block his number.
My provider will block up to five numbers for free for 90 days. (If you want them blocked longer than that you just have to resubmit the numbers.) For $5/mo I could block up to 20, including caller-id-blocked numbers, indefinitely if I want.
I'd try that first, before changing your number.
You don't owe him any explanation, and you don't owe him any reply to these messages.
Stay strong. You're not alone.