If this happened in-game, this would likely constituent a real-life threat under WoW’s terms of service and would certainly recommend reporting this person to a Game Master. Be sure, if possible, to include the general time frame this happened or even the exact time if you have chat timestamps enabled. Screenshots are likely not useful, as Blizz knows they can be manipulated. It really depends on the GM you get.
Reporting for this can be done in-game or by going through this link: https://us.battle.net/support/en/help/product/wow. You would then click “In-Game Issue”, then “Report Player”, then “Real-life threat” then just continue until you reach the reporting page, where it’ll ask you for the character name, realm name, time frame, and description of events. The more detail you can provide, the better. Files can be attached, as well, if needed.
I wouldn’t sit idle and let whoever this is just… do that. If they’re unstable enough to make such a threat, then they’re unstable enough to possibly follow through, and that shit just ain’t worth it over a video game and roleplay.