It may be weird, but the police are in no position to tell him to stop doing anything. So long as he does not approach children and molest them, his bizarre behavior is protected.
We used to have these things called “rights.” If this isn’t covered by the 1st Amendment, it sure as heck is covered by the 10th.
Assuming what the woman reported is accurate, and not ginned up, the guy would have the right to wear a bunny suit.
However, it is my understanding that free speech does not cover the right to make threatening gestures or words.