I would say something like this:
The explicit legal threat just made by your client is tantamount to extortion. As such, it is now impossible to negotiate anything in good faith. I will no longer respond to any communications from Afternic or their client unless the buyer first acknowledges in writing, my right to own the domain and that the buyer fully understands that they have no legitimate legal claim to the domain whatsoever. Bottom line, if your buyer thinks they have a legal claim, then they need to make it through the proper channels. However, I would highly suggest that your client educates themselves first on the legal and domain dispute processes before they waste their time and money.
In all honesty, a broker is foolish for even passing on that information to the domain owner as that makes them look as if they approve of such tactics. That is disgusting of Afternic. Every broker or platform should have a policy that if the word "legal" comes up by the client that the broker should understand that this is no longer a good faith negotiation and that they have no business being involved any further and bow out.