Threatened with death by a customer. What can I do?

I work in Oregon. I have been threatened repeatedly by the same customer for several days on the phone. He tells me he will put a bullet in the back of my head or other bodily harm. I have reported this to my boss, his boss and the police. My boss and his boss did nothing, didn't even call the customer. The cops said they cant do anything because he hasn't hurt me yet, although they did admit to getting complaints about this person before. What can I do?