The government's powers are limited by the Constitution. Someone who threatens to follow you home and kill you, however, is operating in an environment without restrictions, and you might therefore worry that you're actually going to be killed.
"Prior restraint" is a well-tested concept and it doesn't do very well in court. And all the government has to harass you are the courts.
Just because you think that the only way the government is capable of harassing you is with the courts, does not mean that they are not capable of veiled threats. A threats are not limited to personal physical violence.
Though I of course strongly disagree with your premise anyway, particularly when the governmental agency in question is the DHS.
What is that a threat to do?
How about, "Be careful."?