Briefly, every device connected to the Internet (whether it is a Website, your PC etc) has an IP address attached to it. It can tracked and the computer or account which was connected to it at given pioint of time can be traced by IP address liog and time of despatch in the messahe header.
So next time be careful if you like to use abusibe language or send threats to someone.same way rest assure if polcie wants to help you they can tarce the computer or ISP account which transmitted the message