This is threatening behaviour and to come from an adult to a minor is intolerable. I would contact the police again and insist that they take a statement. If they refuse send a letter asking why this is not serious enough for them to act upon, when it is an adult that is doing the threatening. Once statements are taken they have to act upon them. Have a long conversation with your kids before you do that though, make sure it happened exactly as they say it did. Sometimes the police will not act if it is a "tit for tat". ie your kids were just as abusive.