Employee should record such transactions (audio/visual). If a company has to grant a loan to employee, it shall seek loan application, thereafter loan shall be passed by the company e.g. board/authorized official and loan shall be disbursed by instrument of payment and employee shall be asked to sign acknowledgment of loan.
Make a note of phone number from which call was made, time and date of call and your phone number at which call was made.
The threat can be real or hoax. The conduct of this director is bad.
All depends upon on your resolve and resources. If you decide to stand against the might of a powerful individual you should prepare well. Do you have enough people and resource to defend you? Are you member of any union? Do you know influential persons who can defend you? Do you have the resolve to approach CM, DGP, Labor Commissioner; area councilor, minister of your area to whom you voted, etc. This call gives you sufficient reason to approach police commissioner, DGP, Home Minister, Labor Minster, and your lawyer.
It shall be better to discuss the matter with elders in the family, well wishers, acquaintances, community leaders, and make a careful assessment and proceed only if you can withstand the situation. If you do not have the resolve, resources, you may consider it as a parting gift, and forget.
In one of the threads, employee was not willing to serve the notice period, and the director managed to approach SHO and SHO sent a SMS to employee to call him back. The SHO called the employee to Police Thana, called his director and threatened the employee, extracted an apology, and commitment in writing to serve the notice period. The employee was serving in IT sector away from home town, and got subdued.
You may take a decision as suitable to you.