Can I take things further?

So I found out the guy I was dating was married, I found out because his wife messaged me. I blocked him and apologised to her and let her know I didn’t know and I won’t talk to him again, but she’s threatening me saying she knows where I work and see has seen me around, what action can I take? I’ve kept her messages, and she works the same place as me
Can I take things further?
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