Calm down. I know that sounds distressing, but do you know for sure that he said this? Why would he say that to your best friend, especially if he intends to have sexual relations with her? It makes no sense. Either way, don't be too hasty. Bring it up with him, but don't accuse him of anything just yet. 

Confront him...put him in the corner. 
If I were you, I would break up with him as hasty as that sounds. If anyone ever threatened me like that behind my back, especially involving my friends, I would. 

Aquila is right. Don't accept this without proof. If it turns out it is true though, I would break up with him, if I were you.

Thanks people. I was extremely depressed this weekend thinking about this...and other things.... >.> I wish that I could go back in time and reverse things though.