Actually a simple anonymous call to police of a "man with a gun" with a description usually gets a ride-by and questioning of anyone matching that description.

Would you like to place odds what the chances are the guy has a permit, a concealed weapons permit? He may have been lying but if his out-of-jail story is true he can't legally carry a gun. Then there is display of a firearm and potentially 'menacing', the combination of asking for money and showing a firearm. At the very least it would be violation of parole and back to hole for you.

Hard to put a positive spin on a guy with a gun walking into people's back yards, people he does not know, and asking if they want to buy his hat and shoes. Could be someone's crazy uncle who lives with his family down the street I guess but likely the police would know about such a character and strongly suggest he not wander around armed.

Odds are he was up to no good and given a few days the police would be involved, along with one or more people injured or dead, anyway. 'He left but the encounter left me feeling uncomfortable and nervous' is as good an ending as that sort of story gets. A false move on either side and it could have gotten ugly. Giving the police a heads-up on the guy would be doing the neighborhood a favor.

A lot depends on the neighborhood. I've lived in a few where reporting every menacing panhandler and out-of-place person would keep you busy. After a while you get a feeling for which ones are dangerous and which are simply a nuisance.