Extorted For $2,500 Over Venmo

I was looking to pay an escort and after talking to one online, didn’t go through with it. I was then contacted by a guy claiming to be her owner and that he was apart of a (I think) Hispanic mafia and that I owed them money. He found my family members name and address and threatened violence, sending me a video of him holding up a gun and saying he’d kill me and them (though a friend pointed out that he didn’t specify me by name). Suffice to say, emotions were high enough that I didn’t know what to do and ended up sending him $2,500 over Venmo. All my friends have told me that this was almost certainly fake and that there was no real threat to myself or family. One thinks I should claim the transactions were fraudulent to try and get my money back. Another says I should file a report with the FBI. The guy I sent money to is still contacting me, saying he needs to confirm my name is off “the list” and then he’d let me know that I am safe.

Is there any way to get my money back? Should I report this to any official authority?