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In all fairness, I believe some people did.
http://www.cnn.com/2015/07/03/politics/wisconsin-man-threatens-to-kill-obama/index.html
https://en.wikipedia.org/wiki/Assassination_threats_against_Barack_Obama

I believe Secret Service are responsible for looking into those threats, and act accordingly.

And it is a felony to threaten the POTUS. I don't know how many such prosecutions have taken place:
https://en.wikipedia.org/wiki/Threatening_the_President_of_the_United_States