First of all, welcome!
Your router does not contain your home address. However, there are quite a few services to backtrace an IP, and very few ways to keep it from happening. You give away your IP to any site that you visit, as that is required for your computer to be able to communicate with servers and other computers. Unless you are using a proxy service of some sort, you are giving it away to any place you connect to.
However, I have had quite a number of people threaten me in the past, and it normally proves to be false. If the person was actually going to try to locate you, they wouldnt be telling you, they would just do it. So again, its likely false to scare you.