nothing
you don't need to do anything
there was a time, a couple of years ago, when some random guy on the internet figured out a lot of my personal information, and threatened to out me to my parents
I was pretty upset by it. but he didn't do anything. then he threatened me again. I was upset again, but he still didn't do anything
by the third or fourth time, I didn't really care. and he still never did anything
then he stopped bothering, for the most part. eventually he got one of his little friends to try it again but that was the end of it
the point is, people who do this stuff are babies. I don't even know what I did to this guy in the first place, but maybe he's grown up since then
worst case scenario, some people are on the internet are gonna find out where you live. then what? they'll send pizzas to your house? scary
but most likely, he's lying about having any info in the first place. ask him to prove it. he'll probably come up with some excuse