Report the threats to the police. Whoever is making the threats is trying to scare you and it's working. If someone is really going to get you they wouldn't threaten you, they would use the element of surprise, so if you decide to continue because you desperately need the money, be aware of your surroundings and anyone who may be around you.
I have known some unscrupulous illegal window cleaning characters in my past who have made threats to other legally working window cleaners threatening to push them off ladders and similar for working their patches. You have to stand your ground, ignore the theats whilst being aware of the situation.
If you are a trad cleaner I would recommend using wfp if possible to reduce the element of danger should this person who is making the threats follow up what they are preaching. Try and enrol on a self defence class (i.e. Judo, boxing), to give you some confidence and the ability to know how to defend yourself in the future and carry a personal alarm or mobile phone to alert the police if someone should provoke you into a fight situation.
Personally, I think the situation you are in is just scaremainering and it's working. Only you can decide if you feel strong enough to ignore the threats and continue working or take the easy option and walk away from the situation out of pocket financially and feeling scared and humiliated. Don't let bullies ruin your life, stand up for yourself or you'll always be picked on in life is my honest opinion.