Fiances psycho Friend threatening to kill us

They've been friends for 10 years but his friend is now completely screwed up on drugs. My fiance is a grown man with a career and can't just hang out all day everyday. Because of this his friend well call him Greg. Greg said that my fiance Is a piece of shit and fake for only being able to hang out once or twice a week. He blocked my fiance and me about 2 weeks ago got drunk messaged my fiance telling him he's a piece of shit and that I'm a psycho bitch. This all started the first and only time he came over to our new home. And I came home from work after a 15 hour shift and was really sick with a fever and got mad my fridge went out while I was at work. I overreacted asked my fiance to call maintenance and went into our room slammed the door and went to bed. That is why Greg thinks I'm a psycho . After he unblocked my fiance to message him he reblocked him until last night. Last night at about 2/3am Greg starts blowing up my fiances phone about how he's a piece of shut and how he doesn't need him . And. That he'd going to be rich from the YouTube ideas he has. I know at this point he just sounds like an immature cry baby. But my fiance didn't reply now he's texting my fiance saying he has a gun and wants to fight my fiance and is treating to KILL both of us. He doesn't have a car or know how to drive (despite being almost 30) his wife drives. (He's married but doesn't work just sits at home and buys drugs with his wife's money) He also can't legally have a gun from a prior crime. So he might be bluffing either way I take my family's safety very seriously. My fiance doesn't seem too worried. What should I do