Report him with the ingame option PLUS report him on XBoxLive as soon as possible. (Be sure to include game/match ID, username, account data, ect, and at best the message/threat he send you, in case it was text message.)
If he really threatenend your life its a serious crime and it won´t get tolerated. The XB-report system is pretty helpfull, you can block him too to avoid future problems.
If both ways don´t lead to a result you should contact GBX-support, but first report him ingame and wait what follows - it might take a few days to get an answer & more infos. Be patient there.
I hope that helps.
