See something say something (to law enforcement). Plain and simple. I find it odd the UA agent didn't find it strange but turn the tables and imagine the guy really was dangerous and acted on it and an opportunity was missed to report it to LEO and have them investigate the matter.
It's not even a matter of calling 911 if you are at the airport, all airports have cops stationed at TSA and walking throughout the terminal. It should be easy to walk up to one of them after completing your check-in and recounting what just occurred and let them take it from there.
Better safe than sorry in these situations -- especially at the airport.