I sent money in an envelope.

I had seen video games on eBay, then I contacted the seller by his email. He replied that he had the 2 games for PS2, but he lives in VILLIERS LE BEL, and I live in ARGENTEUIL. He told me to send money by money order or check, but I told him that I was only 14. Then I was about to give up when he told me to send the money in an envelope, hidden with a white sheet so that the post wouldn’t see it. He received his money, but I did not receive my games. I contacted him several times, but he said they would arrive tomorrow or the day after. So I got angry and sent him an email saying: I know you never sent me my games, you need to refund me or you will have problems. But he said what do you mean, they have been sent, I don’t refund anything, and I’m going to file a police report because I don’t like being threatened. Long after, he told me that he sent them as a simple letter, does that even exist? Moreover, my parents do not know, and I know they will tell me that I was scammed, and that the games should have arrived a long time ago. How can I defend myself against this individual? Because he is starting to get on my nerves. Thank you for your understanding! And help me, maybe someone has had the same experience as me, because if he files a police report, I want to defend myself.