Should I report this to the police? My ex says if he finds out I have a boyfriend he will shoot him.?

We have been divorced for 18 months. He won't let go. I am not going to tell him I have a boyfriend, but he drives by and checks my house. He is still friends with my brother in law and gets info from him, I think. I have told my BIL to keep his mouth shut. Can the police do anything?