Why Do Exes try to stay where they aren't wanted?

So recently my fiancé just ditched me and stopped speaking to me almost three months ago. After realizing that he was intentially avoiding me I moved on with my life and started dating again and I now have a new boyfriend.  Two months into my relationship this idiot messages me and keeps like to make me angry for his satisfaction, well I haven't given him the satisfaction. I feel like he's trying to make me feel good because of the screw ups he just made for himself but I honestly couldn't give any ducks. My question to you ladies is why is he still harassing me and trying to get me to talk to him? Should I go ahead and call his command and let them know he's harassing me? Because honestly he thinks I'm out for revenge and I'm not that type of person, once I've moved on its over. I really should've left him when he first cheated on me so there is absolutely no love or caring for that peice of crap at all.