Do you have to respond? If he e-mails you, so what? Just don't reply.

As long as you are responding, then he'll keep trying to contact you. He probably thinks it's some sort of game you're playing. I would just save the e-mails in case you start feeling threatned. Let the people at your job know that he's been trying to contact you, that way, if he tries calling there, maybe they can screen your calls or better yet, tell him you are no longer employed there.