I got an anonymous message on Facebook which has ruined my life and I don't know what to do from here?

The message was from an anonymous person and I know it was directed towards me. It said "if you dont stop talking to my boyfriend there is going to be bloodshed, test me"
What do I do from here? I'm in my own relationship with my bf I can't understand why someone would write that to me. I don't know if my bf is seeing someone else. I haven't replied back I think they blocked me 5 minutes ago. This has never happened to me before :(
I got an anonymous message on Facebook which has ruined my life and I don't know what to do from here?
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