I used to sleep with a pen knife under my pillow; a loaded, locked, cocked high velocity air gun with heavy rubber rounds, just to the side of my bed and within arms reach; I kept a scalpel kit ready to use on my desk a kitchen knife out in the kitchen - which I also used to carry to the toilet and/or bathroom. And I took the knife with me whenever I left the house - which was rarely. It faded once I was sure the threat was removed, but it really helped.
I knew that it was probably unlikely that I would come to any harm, but having something like a pen knife in my pocket made me feel prepared and slightly safer - not physically as I doubted even then that I'd actually ever use them, but mentally it was a taken precaution, a safe measure and the only thing I could do.
I never used that knife for anything more than whittling and I rarely if ever carry it now (especially as one of the blades snapped when I tried using it as a chisel for another project). The kitchen knives eventually found their way back into the knife block. The air gun is still loaded and ready to go, but I've put it away so safely I can't remember where it is, but I did fire it once in the general direction (deliberately slightly to the side of) some people in the small outside by my bedroom window (ground floor studio bedsit) once - they stopped shouting, jeering and general indecency (oral sex), packed up their drugs, and left without a word, nor on that occasion at least did they come back. Even though they got me so unbelievably upset, I knew I didn't want to hurt them (well maybe a little, but I knew better, I just felt threatened), I just wanted them to go away and previous attempts at reasoning with them led them to intimidate me and move their behaviour to within arms reach of my bedroom window.
All I'm saying is maybe gentle and calm reassurance, he probably won't believe you that there will be no harm, or even if he does believe you that he won't be able to let his guard down. So just be calm and hopefully soon when the threat doesn't return, he will relax a little.
(I just realised as about to click "Post Reply" that this was in the supporter group, I hope I'm not breaking any rules by posting).