Harassment by ex's boyfriend

I am a married man for last 10 years...Was involved with a girl recently actually she proposed me and we got along..She knows iam married..I never gave her any assurance of any kind...we are not in regular contact.. Now she is is some other relationship and has told everything about us to her boyfriend who is harassing me. Initially he used to call me from her number and texting me..To stay away from her..Now he is using some other number and threatening me. The girl is keeping contact with me.. I have not called her for last 3 months..But she call me from her other friends number ... That guy is asking me to quit my job and go away from this city..I have found this job after very struggle..I can't quit... Also from internet he has downloaded some porn videos and claiming that this video is of her and mine ..But it is not true..We had short relationship but never made any video..Now that man is threatening me that he will show this video to the girls family...That video is not mine...What to do..Shall I approach police...