This is like Regret on steroids, where a personal interaction or altercation is implied if the party who is threatening does not get their way.
Examples include, “You are lucky I am not a violent man,” and, “You’ll regret taking that position, I know people.”
Determine if the threat is a real threat. If so, legal recourse may be required. If it is a passive threat, question it: “Is that a threat,” or, “Why will I regret it if it ultimately comes to pass?” Calling the bluff can be a risky response, but powerful for those with enough experience to judge the validity of the threat. Set boundaries and consequences.