Depends on the region, but this probably doesn’t warrant any action from the police. Given the context of the messages, it’s likely that this is not a threat of violence and most likely his attempt at flirting or making a stupid joke. If he harasses OP or starts sending further dodgy messages, then yes, go to the police.

I realize I’m going to get downvoted for this, and that’s fine. People need to understand that the cops likely aren’t going to take these seriously if they get bombarded by reports of messages of this nature. Sure, it’s creepy, but given the context, communication medium and chat with OP after these messages, it’s probably not a much of a threat.