I don't see how you would be able to do anything about it. It's your business... if he said it out of the workplace. I can't say it's a good idea for you to talk to him about it, since these kinds of offenses are supposed to go straight to the higher ups.
It's her responsibility to report it, or you can do it unanimously.
What kind of job is this? High school/college type job? Professional?
If it's a high school or college type of job, even as unlikely as it seems, maybe she's fishing for attention... what if it's completely set up and she's testing you. How serious is she about it? If she's feeling you were wussing out, like you said, I can't help to think she's screwing with your head.
If she wasn't a total moron, she would get the HR involved immediately if she was feeling threatened by him.