People can take an image, throw it into Google and see where else that picture appears on the net. So, if you're using the same avatar across multiple sites then any weirdo who wants to look up your specific online activities will be able to connect the different profiles by common image files. If you're posting sensitive information on a different account, then it's a good idea not to use any identifiable pictures that you also have uploaded elsewhere.

Most people do this to satisfy their own curiosities about someone they perhaps have a crush on or even if they want to find a way to contact a person, but this guy definitely sounds like he was just trying to intimidate you. I'd change your pictures from here and report that creepy dude on OkCupid.