You can also write to Capita and tell them that they are not welcome on your property, and then they can't even walk up to your front door. If you have a sticker on your front door rejecting cold callers and door-to-door sales, then they are trespassing as soon as they knock. Call the police if they don't leave. I have heard enough stories of Capita agents doing misdeeds once inside that you should not trust them, regardless of how many threats they make. The only circumstances under which you should ever let them in is if they are accompanied by police with a search warrant.
You can also write to them and tell them that you view their threatening letters as harassment, and that they must stop sending them. You don't need to tell them your name - just your address.