Buyers can't cancel orders - only the seller can, but they don't have to.
Your options are simple. You can accept the cancellation, in which case it will all end amicably. You will not be liable for eBay's final value fee, although the listing fee will still apply.
Or you can wait four days, then cancel the sale because the buyer hasn't paid. Just as before, your won't be liable for any final value fee, but the listing fee will still be charged. The difference is that the buyer will receive an account defect for not paying.
It's up to you how confrontational you want to be. If you insist on the buyer receiving an account defect it would be wise to add them to your blocked bidders list to make it harder for them to retaliate in some way, see: https://offer.ebay.co.uk/ws/eBayISAPI.dll?BuyerBlockPreferences
