If by, "what can I do?" you mean, how can I force the cops to take the action that I want them to take when I want them to take it, the answer is, you can't. You've reported it. You've continued to pass on the subsequent threats. They cannot arrest him just on your say-so. That's not the way the law works in this country. If it did, then your ex could tell the cops that you attacked him, whether it was true or not, and they could then come and arrest YOU. Is that what you want?
I understand that you're scared, and you have a right to be. But which would you prefer - that the cops take their time to do an effective investigation and have all the appropriate warrants and paperwork and proof before they arrest him, and have it stick; or that they just go out and arrest him right now and have him released because his rights (yes, he still has rights under the law) were violated? And then have him come attack you again?
Two things I am tired of typing: 1.) A wrongful termination does not mean that you were fired for something you didn't do; it means that you were fired for a reason prohibited by law. 2.) The above answer, whatever it is, assumes that no legally binding contract or CBA expressly says otherwise. If it does, the terms of the contract apply.