Threads is a plugin for WordPress that makes it easy to arrange multiple posts in a timeline. If, for example, you had several posts on your blog about a particular event, Threads makes it easy for readers to follow along.
Another good usage of Threads is on a news site to track posts related to a single ongoing story. For example, a tech blog might create a thread to group stories about a product launch event. Several months later, stories about sales figures for the product might be added to the thread. By placing all of these posts in a thread, there is a useful visual way of browsing all of the posts.
Developer Alex King has a nice example on his website of the sort of potential use for this.