Person calls me and knows me?!?

Ok, there's this person who left a message on my cell phone, he says he knows who I am and tells me what I was doing, which was writing a letter. Then I ask who was it even if it was a message and he answers you will find out. I couldn't believe it! A message responded to a question!! whaaaaanyways, he said to go to the park at midnight, or I'll regret it for the rest of my life. I went there, only to be greated by a police officer, who kicked me out of the park which closed at ten thirty. Then when I was going home the phone said good work, more awaits you, be prepared. WHAT THE HECK IS GOING ON?!? I tried getting recoreds of the recording\messages, I even went to the phone company, they said it never existed. I'm shocked, some guys on my back knowing what I'm doing, he knows who I am, and I don't know him. I'm only sixteen, I don't want to go to the police, there ganna say I'm crazy or somthing. what. do. I. do?