Absolutely! It may be hard for you to realize that your life is actually in danger but, if someone is making credible threats, you must take steps to protect yourself. Report it to the police. Find local organizations that can help you. You may decide to make yourself hard to find. If you want to move to a new location, you must not let your address or telephone number be known to people; use a post office box for all of your correspondence. Talk to your local police or Domestic Violence organizations.
Most victims of domestic violence who are murdered (or murder is attempted) by their abusers were stalked, sometimes for days, sometimes for months, before the lethal attack. If your life is being threatened, you should consider yourself a stalking target, and take steps to protect yourself.