That happened to me a few months ago, someone wrote that they had videos of me masturbating and that if I didn't give him $1000 he was going to send it to all my contacts, I contacted the FBI, first I went to my local police station and they gave me a website to file a report but the website said my address was slightly outside the LAPD jurisdiction, so they told me to go to the sheriff's station.
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I went to the sheriff's station and they gave me a FBI website to file a report, I filed the report then I called them and they said they've been getting a lot of these reports and that's its just a scam email.
What scared me is that he said he was going to send it to all my contacts and I have some family members who are minors, so if he did this I was worried id get arrested for exposing myself to minors.
Another thing that scared me was in the email it had my own email as the sender address and the dude said he hacked my email, the FBI said that it's a trick and that it's not really my email, but I'm not so sure.
I was also worried that if he really hacked my email he would be able to post the video on websites I visit like anandtech, reddit and YouTube and I was going to get banned on these websites.