Well that's an interesting (and unusual) threat!
To the best of my knowledge, mortgage brokers simply find possible suitable mortgages for their clients and then bring the two parties together. It's then the lender (rather than the broker) that carries out credit checks, so I doubt that the broker has any direct contact with credit reference agencies.
I can't see anything here that would suggest that credit reference agencies obtain information from people like mortgage brokers:
http://www.moneysavingexpert.com/loans/credit-rating-credit-score
Further, that threat seems to be 'grasping at straws', as the normal threat (where someone believes that they haver a legitimate right to receive money from you) would be to take legal action through the Small Claims Process.
My FCA link above has a telephone number (at the top right) for their consumer helpline. It might be worth phoning them for advice.