First of all, report it to the police. If nothing else at least they will have a report of who is involved should anything happen.
My question to you is: how did they find you to begin with? It is my understanding that they just don't walk down the street and pick people at random.
Another: Are we talking bikers? The italians? Jamaican? Drugs? Gambling debts? Loan Sharks?
Do you own a store where they are offerring protection?
As for them having connections to organized crime, are we talkin' street hoods/gang bangers?
You have to remember that most are simple street hoods that the upper echelon doesn't give a rat's ass about.
BTW: all this talk about the cops not caring is BS. I had a problem with someone threatening me and they were here in 45 minutes, confronted the individual and told him to back off or he'd be arrested. I never heard from the party again.
You have to remember: crooks want an easy score. If it ain't worth their trouble, they will move on.