Can a report this person for blackmail?

I have this so-called "friend" that I no longer want anything to do with but he has something of mine that I've been trying to get back for a while. But he's been threatening to destroy it and is trying to use it to get me to have anal sex with him. I'll be honest, what he has of mine is nothing more than a blanket but it has a lot of sentimental value and he knows how much it means to me. I really don't want to degrade myself to get my property back. But I'm not sure how to even go about reporting this..Can I even report him? I have text messages that can prove he's been threatening me and attempting to blackmail me..Could this help me get my property back without letting him get his way? And what are the consequences for blackmail anyway? Please help me. This is really embarrassing for me but I just don't know what to do.. :/