When you have a sought after skillset people will often try and factor that into their own agenda if they can. Don't let that happen without clear gain to yourself. In this case you should just ignore your colleague since you're not interested and have no need to take any risks.
There is no need to take it further in any direction including reporting it unless there is a clear personal benefit in doing so and it can be done without negative repercussions. Lastly, if it's not documented, it didn't happen.
In some circumstances if it is provable or you have good rapport with management it might be worth giving them a quiet heads up, if it's a niche service or market where competition will not generate it's own clients but must take others clients, then it is a direct threat to your job security. However these often have non competing clauses written into contracts.