If someone has threatened you via a comment or a direct message, the first thing you should do is take a screenshot. Many professionals recommend that you avoid responding to someone hostile on social media, but capturing an image of the content with their username will help you move forward. You can report the user to Instagram by clicking on the three-dot menu on their profile or visiting the Instagram support website (this is where the screenshot comes to play. If the threat is severe enough, or you feel it is valid, it's probably a good idea to contact your local law enforcement authorities.