yes, call the cops. It will help put your mind at ease b/c you can never tell if they are serious or not.
My AH called the cops himself the last time he was drunk b/c he was mad at his friend. Well once he started saying he was going to hurt himself he ended up going to the ER, transferred to another hospital for a psych eval. He was released the next day of course b/c he was sober and deemed not a threat, but he is now dealing with a $3000 bill as a result of that threat. talk about an eye opener for him. He hasn't threatened it since.
Sorry things didn't work out for you with AH.