What would you have done?

Last night when my SO came home from work, he saw something strange going on at a neighbors house at 3:30 in the morning. There was a car parked across the street with a man sitting in the driver seat and another man looking through the neighbors Windows and then knocking on her door... It was 3am! So he proceeded to ask if everything was alright and the man told him to mind his own business. Being concerned he proceeded closer to confront this man to say he needed to leave or he was calling the police. They exchanged words( not sure what was said) and the man walked passed SO to get back in the car and pointed his finger as a gun gesture at him and got in the car to leave. SO took a picture of the cars plate and they left. With all the gun violence  going on these days, I became worried. I confronted the neighbor today about what happened and she says he was an ex from 3 months ago and didn't want the police contacted. After letting it all brew for a while I found the need to call the police to make them aware of the situation given now I'm in fear for my SO that these men may come back with an actual gun. Was I wrong to call the police against her wishes? SO didn't want the police called either but a gesture like that could mean so much now a days