Bring it to attention of school authorities and notify the police of the incident. Teach your child what to do if they feel they are in danger. Ask about anti-bullying policies at your school and see that the school implements them.

This is a real threat as guns are easily accessible in their homes.  You need to get the other moms whose children are also being bullied involved in this campaign to set the bully gang straight.  You must document everything and if need be take photos of bruises etc.  Speak to the teacher, then principal and take it to the school board.  Lay a charge against the gang every time they do bullying.  Safety at school for all learners should be the school's priority irrespective of the age.
Good luck.  Getting the police involved might scare them.

In this day and age all threats should be taken seriously, especially at a young age. 5 year olds don't have a true understanding of what it means to die or to hurt another person. They learn much of this from watching television or in your case learn it from an older sibling who they will look up to no matter what.  

The best thing is to bring this to the attention of everyone. I wish it just called for a simple time out. But you never know until it is too late.

The threat of the use of a gun is absolutely unacceptable.  I agree that this issue needs drastic measures, despite the child's age.  If the parent's can be alerted, no matter how dramatic the alarm, that their child requires some attention now, it might save a lot of heart ache down the road.

Separately, just the physical assault is pretty bad, whether he has older siblings or not.  Pushing, let alone kicking and punching are unacceptable at school.  At this age, a more severe tact should be taken by the administration.  The targeted children should not ever feel as though they are unsafe at school - it sets a bad standard for future attitudes toward school.  

In addition to yelling at the school (because you are paying EXTRA for the school) for action on the targeted children's behalf, you should also contemplate enrolling the children in a martial arts school.  Many taekwondo schools offer courses for small children.  We enrolled our son at age 4 in taekwondo.  His first bullying occurred in Kindergarten when other students targeted him on the playground.  He was able to address the problem correctly using the method his taekwondo instructors taught and practiced with him.  Now, at 7, he still has to prove himself off and on, but the children who have bullying tendencies know that they will get hurt if they bother with him.  And do not think that results are pretty immediate.  Taekwondo instructors are ready and able to send your children home after the first lesson with some method to assist them at school.

Speak To The Child's Parent And Make Sure That The Student Who Is Getting Bullied Parent Know.

I pulled my 11 year old out of middle school because they could not stop the verbal, physical , and sexual vulgar words and names.  He still suffers, get your kid out of there if they don't fix that kid.  He sounds very scarey and only five, God bless these young kids today what is going on???