Honestly, the thing I will always tell people who experience this is to call emergency services on the person making the threats. Either you've saved them or taught them a lesson. Either way, it's the best move you can make.
I cannot explain It. I've never once wanted a traffic cone. Never once considered taking one. Don't even have room for one in my apartment. But god damn the number of sunday mornings I've had to go put one back out randomly on a side walk.