You should absolutely file a complaint with your local PD. Make a copy of the note first before turning it over to them. I also will say that I am a Christian Gun Owner, and I feel that this person is not a true Christian. This note demonstrates Intolerance on many levels as well.
Now what I would do also, get one of those signs that says "My neighbors wish to have all guns removed from this neighborhood. They are Gun Free! I promise NOT to use my guns to protect them in any way!" Anyway you get the idea but again, make sure their lunacy is reported.