Your thread title is "Why does he say things like this?". My view is that he says them to keep you involved by making you think about him and worry. I understand from one of your other threads that you have ended the relationship for your own good. I think that means you have to be very disciplined about disentangling yourself from his pain and drama, because it sounds like he's very good at manipulation.
It's a serious, concerning thing to say to someone - which is why he uses it, no doubt. I definitely think you should report it to the police and leave any action to them. That way, you have taken a responsible step and can do no more for his safety anyway.
I have to disagree with calling a suicide prevention helpline. I think that keeps the issue with you. The only action you need to take is to report it to the police. I would do that by phone and then follow up with an email (if you can email them) or a letter. Then leave it, and if he talks to you about it again, don't discuss it but give him the number of the suicide prevention helpline and update the police that he made another threat.
I don't think you should do anything else at all. Hard as that might be, maybe you could channel any anxiety and nervous energy you have into action for getting therapy for yourself, not for thinking about him and his motivations.