I had a similiar conversation a year or so ago, though without the threats I hasten to add. It was someone calling from our gas company about swapping our electricity supply to them. Now I may be old fashioned, but I like to get my gas from a gas company and my electricity from an electricity company. Anyway, when he asked me who we got our electricity from, I told him it was none of his business. At which point he called me a silly old woman and I hung up before he could say anything else. I wrote to the gas company concerned to complain, but of course they didn't find out who it was, though they did write back. I really wrote because, as one of their customers, I wanted them to know that whoever was doing their cold calling was pissing off existing customers.
At least it made me finally get around to putting our number on the Do Not Call list and since then we've never been bothered with sales calls.