Is there anything the cops can do????

I opened up Instagram and this is the message I received from a stranger and one of these photos has to be what they are talking about because they are the only 2 I've put up ( my profile is private so those 2 pictures are the only ones they would of seen of the 2 of them) . I don't understand how someone could stoop so low to wish death on a 4 week old baby. Shotty pellets (shotgun pellets) to my 4 weeks old sons head !!!!??? Hoping he burns in a fire??!?! Is there anything cops can do about this??? I feel like that might be taking it too far but at the same time I don't care if it's taking it too far . They took it too far when they sent that uncalled message to me.