Is it at all possible that this was not even a physical threat to the coach, but rather a comment about what "My team" is going to do to "your team"? It didn't sound that way, but I've heard coaches use the first person personal pronoun when talking about their teams to the other coach. (Grammar reference for Julie - I could have just referred to "I"
)
In any case, it sounds like you did the right thing. If nobody on the crew heard it, and it doesn't show itself through any worse actions during the game, there' not much more I think you can or should do. And this is coming from a coach who likes to see officials do whatever is possible to help keep things under control.