For those suggesting this, what do you think the cops will do?
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At the least they will make a log entry of the call and complaint...
They may ask you for permission to backtrace previous threatening calls...
... or monitor/record any future contacts...
Most states have harassment laws with strict limitations on tele-marketers & collection agencies...
--LIKEWISE--
Many substantial local/metro LEO agencies have cyber-crime /identity theft units and really enjoy busting these bottom-feeders...
At the very least-- I would expect to be guided to the applicable state agency to file a formal complaint against the callers...
The "paper-trail" would become very important if any of these events came under scrutiny in a criminal or civil court proceeding.
I would call our local sheriff's dept without hesitation.
Merry Christmas & Happy New Year!