How to protect myself if ex-fiance's family is threatening me

I broke up with my fiance 9 months ago. I moved on with my life. Now recently her family started calling my family and accused me of creating some fake account of her on Instagram and uploading her pictures. ( I dont even have account on instagram). They also mentioned that they are receiving some threat messages from random number and I used google trickery to create them. They even got a local police to call us (from his private mobile number) and threaten us with police custody even before investigation. They threatened to destroy my reputation in public, workplace and would create my fake account. They also gave threats of law on their side since the law favors women. They pressurized me to beg for forgiveness for the crime I haven't done, so that they can claim victory to their relatives. There is something fishy but the girl in question (ex-fiance) is not speaking the truth. What action can I take against the ex-fiance family for threatening us?