White Israelite, report any threat to the police. If he physically attacks you and you have to take the guy out, you will be treated like a criminal and it will help to support your story. Also, if the police do anything, which is rarely, it will create a bunch of grief for the moron.
Good thing is you are in a CCW state. Always carry always.
I was reading on another thread that some Jews would not carry a weapon on the Sabbath. I sure hope this is not true for any of our members. I guess we could always assign gentile bodyguards, I would give up a Saturday per month to protect a Jew.