In the United States, all speech is considered to be protected until proven otherwise.  In a criminal case, the defense has no burden of proof that the statement was made as a form of a threat.  Thus, the Prosecution must show that the speech was unacceptable.  As the case of Watts v. The United States decided, a True Threat only if the messenger intended it to be interpreted as a threat and the audience reacted as such.  In the case of Watts, who was opposed to the Vietnam war and the draft and said at a public protest that if the nation ever made him carry a rifle, he would endeavor to make sure President Lyndon Johnson was the first person in his sights, and then mimed shooting a gun.  He was arrested by the Secret Service for making a threat against the President.

While the supreme court, on appeal, found that the law against threatening the life of the President was constitutional, but it did not make Watts statements illegal.  Watts maintained that he was merely joking, and admitted it was probably not the best joke to make, thus showing his intent was not malicious, and the fact that the audience was largely laughing and applauding and cheering, meant that it was not seen as a threat by the reasonable person.

This is not an either or situation.  A true threat must be both intended by the speaker to threaten someone or something AND must be understood by the recipient(s) as a threat in order for it to be a true threat.

Take for the situation a fake bomb scare called into emergency services.  The speaker would know that any threat made in a 911 call will be understood as a threat, and thus, cannot joke with an on duty 911 operator.  There is no reasonable way to interpret a call of a bomb threat to 911 as a joke, and thus the intent is to make a threat, even though no lives are ever in danger.

However, if we look at the Kathy Griffon picture of her holding President Trump's severed head, we do understand the likely intended message was not a threat to kill the president, even though the audience largely was not amused.  She did get investigated by the Secrete Service, but they found no evidence to say that the joke was nothing more than a very bad joke that was not intended to actually threaten, but just mock (Most Americans do not appreciate jokes about killing the President, even if they do not like the current president.  Its one of the very few things Americans do agree on.).

The Prosecution will have to prove that your intention was either to threaten or make the listener believe the false threat AND the listener must understand it to be a threat.

Because all restrictions must be context neutral, no specific statements or practices are outright labeled as a threat.  You can in fact shout Fire in a Crowded theater without being arrested for making a threat.  After all, scene in the play called for the actor to announce the fire.  And when in doubt, the speech should be protected.