I had the same reaction.
Personally, I would cease all communications. As far as you're concerned, the matter was resolved by ebay. Any further communication is unnecessary.
It's most likely an empty threat, but if there's a remote chance that something arrives in the mail, you don't want to give him anything that can be used against you later.
[edit] Also, if you're concerned about your personal information being shared, you might want to think about contacting ebay about the message and express your concern about the seller proclaiming that he's sharing your information with 3rd parties without authorization. But, that might also rile him up even more, so....*shrugs*