Report them on your in game console reporting tool and block them, then move on.
EDIT: also if they just said something like, "Enjoy your ban"; I would not consider that a [i]threatening message[/i]. I would take that as a warning that something might be up with my network because obviously something was hinky with your internet connection.
English
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Are you a BUNGIE employee?
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Edited by mosvalve: 11/27/2016 7:52:16 PMThe exact wording was "Consider that account banned". Edit: I'll add a pic with his name blotted out...