A random online player DM me saying they reported me to Blizzard. What am I to do now?

Keep a record of the message just incase any enforcement action is taken against your account, this isnt the first time such a thing has happened, dont retaliate to any messages, if you feel it necessary you could change your privacy settings to friends
only save you getting direct messages from random players.

Settings

Account

Privacy

Messages

Again if any action is taken against you put a ticket with the message you were sent to;

https://enforcement.xbox.com/en-US

Hello, You have nothing to worry about unless you have violated any rules. I would just block the person and not respond to any messages from him.

If you did nothing wrong, then ignore it, if the other person submits too many false reports they actually risk their account getting suspended.

Reporting a player in any game doesn't necessarily mean you'll be given an enforcement action. Both developers and the Xbox Policy & Enforcement team investigate the cases reported and make decisions based on their findings. So as long as you don't have
cheating software on your device, and you didn't actually cheat, you'll be okay.

Please kind mind: You'll find in a lot of PvP games, you'll get reported a lot when you're having those good matches. And even sometimes when you have really bad ones.

As long as you haven't done anything to violate any rules then there's nothing you have to do but ignore it.