if you can't remember offending anybody in the gym, better ask the sms sender what you did wrong for him to send you such message... reporting it to the police is a good move! i do believe that people who can send you threatening messages and not show their face or even pick up your call are cowards. i go to the gym too, and i encountered a rude instructor, after refusing his offer of training me, he started to act rude, and smirk whenever i am working out... what i did? i ask him to train me, but not by lifting weights... i asked him to spar with me, full contact, MMA rules... he stopped his stupid acts afterwards!
Why so serious... Son?