Am I being bullied, and should I go to the principal?

Alright, I was sitting in class, and I needed to go to finish something in another class, so I asked the teacher if I could go.

One of the students said something under her breath, but then she turned to me and said, outloud so everyone could hear, "I take that back, because I don't want her to shoot me."

Now, I am a quiet person. I dress in dark clothes and I have a small group of friends, so obviously I am used to getting picked on, but I'm not sure whether or not this is going too far. I could just pass it off as her being a bitch and not say anything, but if someone didn't think she was kidding it could get to the principal and I could get in trouble.

I've never been in trouble, so obviously she has no proof to back up her dodgy claims, but no one cares about that. All they know is I'm the goth girl who sits in the back and doesn't say anything.

I'm worried that if I don't go to the principal I will end up with a shitload of rumors about me, and they'll follow me all through high school and maybe even college. I don't want that kind of reputation.

Should I tell the principal?