From now on, you should be aware that landlords cannot lawfully ask for a key/damage/security deposit of any kind, except for a deposit of last month's rent. You should never pay them such a despot in the first place, because it's aggravating to get the money back should they decide to withhold it.
I'd say your best course of action is to keep emailing, texting, and calling them until they eventually return it. Let them know it's a priority for you. If it helps facilitate the process, offer to meet him somewhere convenient to get the deposit back.
If he blatantly refuses to return it, and you feel like going through the rigmarole to get it back, you can file one of these, but it's not free: