Galaxy, my advice would be to discuss it with the Head of the school first and agree a plan of action, particularly as it appears to be part of a bullying campaign. The whole thing, not just the phone call needs to be addressed.
No bullying is acceptable, but this is particularly pernicious as the bully has had the arrogance and the nerve to take the bullying out of the school and effectively into your home via the phone.
Certainly, the child (and his parents) need to be made aware that the police will be alerted.
Hope you've got a good Head in the school, if so they should be very supportive and want to resolve this. It may have happened outside of school hours, but I think the school has a duty to take firm action.