Escort and her pimp threatening me

Hello, please don’t judge me, I already feel extremely bad and I am terrified.

I’ll tell you the story, it will be a bit long.
At the very beginning of August, I contacted an escort on Telegram. I chatted with her to arrange a meeting at a restaurant, and she told me that she charged 50 euros for ******. Like an idiot, I gave it to her, and the escort never showed up. I asked her for a refund, and she told me to send a bank account details, which I did, but in my haste, I forgot to blur out the address. She thus had my home address. Then she told me, “if you pay a security deposit on top of that, I’ll come down and we’ll have the meeting.” I sensed the scam and said no, then dropped it, but to scare them I said, “if you refund me, I’ll call the police,” and that’s when they lost it. They told me they would file a report against me for attempted kidnapping and that they would harm me because they have my postal address. I cut off contact with them. Nothing happened in the meantime. Not a call from the police nor a letter.
Yesterday, given that I am terrified of something happening to me or my loved ones, I recontacted the person on Telegram with another account pretending to be someone else. I asked her if she had filed a complaint recently, and she confirmed by saying, I quote, “yes, I reported a person named *my name + my first name*” and she also confessed that she and her pimp are preparing a plan to do something to me because they have my postal address + my photo and my bank account details. I am extremely afraid for my safety; do you think something will happen to me? Please, I want honest, objective opinions. I'm even hesitant to go to the police to say that I’ve been threatened.