Its a serious matter if somebody threatens you for their interests, enjoyments, security or any other reason. You should always reach out to the law enforcing agencies of your region i.e FIA, army personal, police etc. Its a serious matter to be dealt through crime ceasing law and judiciary.
There can be cyber threats, direct threats or indirect threats through another person or source. Some people can cause you to be the victim of violence, don't be afraid and reach out to the state law enforcement. If its an urgent threat and person stands before you holding an object to harm you, immedietly find a strong stick, knife or a gun for self defence. Always keep an object of defence hidden nearby.
If you are culprit thats why you are being blackmailed, accept your fault and talk to the opposite person so that matter gets solved. Always deal them politely if you are guilty for something it will ease the situation to 50%. If still the person feels you are offensive, try dealing them more politely and talk ellaboratively.
If the person is unknown, try to talk to the person through phone and try to resolve the matter. If you are sure you are at no offense talk to your family and parents so that they know about the situation and help you with this.