My question involves landlord-tenant law in the State of: New York

Hello, so I'm not sure this is the right place for my question, but here goes
I rent an apartment in NYC, and have had roommates on and off for the past few years. I am not the landlord, just rent an apartment in a building that is rent stabilized, but not rent controlled
Recently, the room I let out has been vacant, and I found a roommate on a social site who came and viewed the place, said he only wanted it for a month initially, as he was debating getting his own place in the near future. I asked him for some deposit to hold the place, since he was not to move in for another 5 days. He gave me 500 dollars as a security deposit, and the day before he was due to move in, we had a conversation about timing etc over the phone. I told him to also give me a copy of his ID, along with a reference letter from his workplace, but that could happen in the week as it was the weekend already
He responded by getting quite angry and affronted, citing no need for a referral letter, that he was not going to ask anyone at work and inconvenience them. I tried to explain that as a stranger coming in, this was just basic verification information and he got quite mad and said he wanted his deposit back and he wouldn't move in, and he would sue me if I didn't return his money. This was all over text message, so I called him as it sounded blown out of proportion, tried to reason with him over the phone as well, referral letter in the form of an email from a colleague just saying he is in good standing and works at the company mentioned would do as well (he said he works for one of the financial giants, very well known company)
Now I have worked for banks in the past, and its not an issue to ask a colleague to send an email, but he got very upset and started yelling, and said he did not want to move in and wanted his money back NOW
I explained that it was the day before move in, I would have to scramble to find someone, I could not confirm 100% about the deposit return, but I would get back to him, he said he would wait a week but didn't care about my situation, just wanted his money back. We ended it there, now since then, its been 2 days, and he keeps texting me continuously asking for his money back, saying he will file a claim in the small claims court, threatening me by saying I'm not allowed to have roommates without landlords permission and he will goto my landlord and complain...
What can I do here? I still don't have anyone to replace him, and frankly, I didn't mind giving him back his deposit but he has just been so obnoxious and snowballed this situation, I'm not sure what my rights are here?
There has been no written documents exchanged, just text messages and the check he gave me
Any help please?