Work place problem and HR won't help! What do I do?

A fellow employee has been causing problems at my work for months and finally it was escalated to HR. After the first time HR called him, he told TWO other co-workers on separate occasions that he was going to physically hurt me and that he "knew people" who would hurt me as well. When I called back to HR they didn't seem to take the threats seriously. They basically were unwilling to do anything about it even though they told me if he retaliated in any way he would be terminated....am I just crazy....are threats not retaliation?? please give me advice on what I should do... should I call again and ask to speak to the HR rep's manager? Appreciate the help in advance