No, I don't think so.
Since you have first-hand information from the authorities that you could legally stay in Qatar for up to 30 days after cancellation of visa, you are not breaking the law. As such, you should not be afraid.
Possibly, he is threatening you over the mobile phone. If so record his threat and after you finish talking to him, call him back and tell him his threat has been recorded. Tell him straight that you are not doing anything illegal and that if he threatens you again, you will report the matter to your embassy. Tell him also that you will take the matter to the Human Rights Committee. I guess, that should stop him.
You need to be just be bold lady, that's all.