This is not a good thing for anyone to be going through. I would get a PFA or something against him, his gf, and anyone else you know that's possibly involved. He's only threatening you because he knows how you are. He probably knows how scared you'll get by his threats and I'm guessing you're too afraid to even go to the police, right? Go to the police anyways because that's what he will not expect.

Just hang in there, stay safe, and take care of yourself. We are all here to support you every step of the way.