Simply laugh at the idiot who sent you that message. NOBODY CAN HACK YOU. The only way somebody can gain access to your gamertag is by knowing your email and password. If you never give them that information, they can not "hack"
your account. This person is only trying to scare you, he is bluffing.
Surely, if somebody had the ability to "hack" an account, they'd do it straight away, and they wouldn't send you a message announcing it. It would be like a bank robber ring the bank and saying "I'm going to come in on Tuesday
and hold you up."