Most guys who make these types of threats are just frightened little boys, in adult male bodies, who were bullied and are trying to bully women because they perceive women as being "weaker".
Like most bullies, if you called them to the carpet most will back down and never bother you again. However, caution should still be observed.
If you haven't already done so start taking martial arts. Krav Maga is a no non-sense kick ass martial art form that anyone can use quickly. It's not pretty but it's pretty effective.
I would encourage all women to learn it or some other form. Krav Maga classes are offered in most major cities in the world.