I am pretty sure you should not be shot at in your place of employment. Not even in the USA where your right to bear arms and shoot at people in a surprisingly wide range of situations appears to be enshrined in law.

Do you have a formal risk assessment on this? Is it adequate, or do you need to bring this up with your manager? I would have thought that a duty of care to employees (statutory in the EU) would include pursuing threat-makers in the courts and seeking damages and getting orders for them to cease/desist and face jail if they come within say 500yds of you (or 1000yds if they are good shot).