That can be taken in two ways from my perspective: 1. They're bluffing.
2. They know someone from another private server who's a GM there and is threatening to bring that GM here to mess around with our private servers.
Actually, that's more like one way: bluffs. No one messes around with Fly for Hero; especially with Dex and Hades around.
In any case, ignore these asses. When they are caught by a GM ingame, they'll be screwed if they don't cooperate =)