A threat is an impending danger that has the potential to cause serious harm — it just hasn't done so yet. In The Wizard of Oz, the huge tornado that spiraled across the Kansas countryside posed a threat to the little girl named Dorothy in its path.
If a huge thug carrying an equally huge knife approaches you in a dark alley and demands, "Your wallet or your life," you feel the imminent threat. Your safety is at risk, especially if you don't hand over that wallet. Threats don't have to be big and scary, though. An extra-large slice of chocolate cake isn't armed and dangerous, but it's still a serious threat to any dieter who's trying to cut calories. Or, you could see a gray cloud as promising the threat of rain showers.