Yes, I would also let the police know about the gun.
If he is "going nuts trying to find out what you know", he is not sounding stable ...and has a weapon!
In my mind, he's not only possibly harmful to you, he may be harmful to others.
Even if the police are kind of casual in their response, it may be good for you to know that you told them.
We live in a small area and after STBX was outed, more and more people aren't even wanting him around, and he's a coward at heart. The local police were very nice when I called to ask their advice and they took the names of STBX and OW and have some kind of log.
They don't have weapons that I've heard of but have caused plenty of trouble to me personally, so it may be beneficial. I don't think they would think of it as being bothered.
A person is a person, no matter how small. -Dr. Suess
Perserverance and spirit have done wonders in all ages.