Fraud/Threat

This robo call stated that I was going to have my credit card cancelled if i did not respond.  Of coarse I responded... He then stated he was from  Capital One and I asked for a return number (it was obvious he was from India),  they gave me some odd number that I called to conference them in... it was a car dealership in TN.  Once he realized I knew he was a fraud, he the stated he was going to call me every day on the hour to bother me and my "smart ass".  I asked why... what was the point and did they really think anyone would fall for this scam.  I asked what motivated him to do this for a living and his response was "Because I am a terrorist and you cant stop me" . "I can do anything I want to you and I think I am going to kill you now".  "And but first I am going to kill your husband and let you watch"... I stated that this was a recorded call and he then hung up.  within 2 minutes I received another call with the same robo message.