Only if he was an illegal immigrant or fugitive, otherwise it is
between you and the owner.
The police will tell him to take a hike, fly a kite, settle the
matter among yourselves. He can kick you out, you can refuse to go,
the police won't take action.
Or he can ask you to pay him money. The police will ask him sue
you himself.
You can stay till end of month, don't pay this month and let the
deposit cover it, and leave.
The owner must think you are a real stupid idiot to threaten you
like that.