PLEASE, help me!?

Six years ago, a man told me he's in love with me, but at the time I've been in a serious relationship, so as gently as I could I've told him that I'm not interested. After I broke up with my then boyfriend, he approached me once again, and again I said no. After that, he moved to a different city, but has returned three months ago, and he imedeately started calling me. I tried talking to him, explaining that I don't want to hurt him, but that I don't love him enough to be with him.He even threatened to kill himself.I've changed my number three times. I don't know what to do any more. I can't go to police, because I don't have nothing to report. Please, help me to figure out what to do, because I'm on the verge of a nervous breakdown.