I'm sorry he broke up with you.
YES! Call the police if you think he's going to attempt to harm himself. Don't ignore him telling you this - it may not be an idle threat.
He needs treatment.
Whether he comes back to you is up to him and you. Maybe once he gets some treatment for his depression he'll understand that you care about him.
I just can't stress enough, you need to tell the police and get him some help - or he may never come back to anyone again.