I would file a report yes , if something happens to any one at that school it would be tragic so Yes ,you will feel better once you do.,they will know how to handle it . As it was at school they should also have something to say to the childs parents, whart was their reaction.? Tell him you will make sure he is okay you have talked to the Police they will want to speak to him and verify what happened ,what the child said, , meet him always from school, reassure him all is well,.Good luck, it shakes you up doesnt it ..
I think that you have another child that is messing with your sons head.
All kinds of laws now a days to stop this.
You said you talked with the school. That can mean many people. You need to talk with the school principal, and the principal needs to talk with (or possibly punish) the other child.
If this other child child is in your child's classroom, then you definitely need to talk to the teacher.
The principal or teacher needs to talk with your son. Reassure him and let him know to tell them if anything else goes on.
You need to let your son know what you have done so that he knows somebody is listening.
Also --- since this is something that is a bit unusual to happen. I would try and get a little more info from your son. Who is the other kid? Is he someone your son plays with? Has he somehow done something to upset this child, etc. I know this sounds awful, but sometimes these things are a bit more complicated then they seem. Takes two to tango, etc.