Hi! Thanks for the question!
No, you are not responsible for this at all. You just advised him as a friend and did not influence him or force him in any way. He had his brains and a lot of time apply the same. He can only recover the money from your friend and that too only if there was an agreement signed between them which would depict the capacities and conditions involved in their transaction.
You can complain to the nearest police station and as your F.I.R is book, the person shall be restrained from even coming near you and may have to serve a jail time if found guilty and subsequently convicted. Along with that you can even serve notices to him, drafted by a lawyer, conveying that an action may be taken if he continues to threaten you. You should take action the earliest possible and not risk harm before you take precautions.