If somebody threatens you and leaves it ambiguous, then that is a credible threat; it leaves you having to act as if it might happen, because you're left thinking it might happen.
There is actually a lot of really aware and sophisticated legal history of this stuff, because of organized crime taking such threats to the level of an art. "You don't want `something' to happen to your family, do you? Nobody wants anything bad to happen to their family. When little Billy goes to Famousname Elementary School every morning, you want him to know he is safe. When he takes his lunch break at 11:35am, you want to know he is safe." That is totally actionable as a threat, especially in the context of trying to coerce a behavior, like, "Big John doesn't like it when you write bad things about him in the paper. Then his mind is all full of bad things."
Interestingly, the same is true if you want to make a joke about yelling fire in a theater while actually in a theater; it is ill advised, and it is your responsibility to make sure that it is clearly a joke. (to a normal, reasonable person like the other real people in the theater) If it is ambiguous, and people are left to think, "wait, is there really a fire?!" then all it will take is one of them running for the door and you "yelled fire in a theater."
A similar thing with threats; if you tell the joke to somebody who is NOT the target of the threat, that is pretty safe. Even if they can't tell if you're joking. But if you want to tell the target of the threat the... threat... it is up to you to make it clear as a joke if it is indeed a joke.