Someone left a voicemail threatening me or was it a joke?

It's currently 2:20am and I got a call from "No Caller ID", i'm assuming they dialed *67 and then their number. I listened to the three voicemails this person sent me and in the first message the person "burped". The second message the person was talking unclear and said "it's coming tonight" and the third message I heard clearly it said, "you're going to die tonight". I'm not sure if this is a threat or a prank call. I have friends over so they must think it's a prank because who would call at 2 in the morning. My friends heard my phone ringing but I didn't end up answering because I was busy. But it got me thinking what does this person want. I obviously don't know this persons number so I have no way of tracking them. I was wondering what I should do in this case.