should I go to the police over something like this...

My fiancé and I got in a big fight And I know I said some things I shouldn't say too but some of the things he said just scared me and I don't know how to take this. And for the record I did not cheat on him, I just said he should look for a different girl if he doesn't think i can handle him. Should I go to someone for help or is he just trying to scare me? I posted messages below:( please help I'm honestly scared