Report them to the police. It is illegal to threaten anyone with bodily harm.
You should certainly take this further, otherwise you could be charged with failing to prevent a crime, if you yourself are not the person threatened. If you are, you are justified in asking for police protection.
I would report it to the Police as well. Before it's removed take a screenshot and save to your computer, to prove it existed, just in case there are more to follow. I'm sure 99.9% of these online idiots won't follow through on any threats they make, but it's not worth taking the chance. I feel sorry for MPs who have thousands of these things.