It's not a threat. It's a common idiomatic phrase. Are you ESL?

In case you are, "the hill you want to die on," means a single issue that you're willing to expend a disproportionate amount of time/energy/etc defending. If someone asks "is this really the hill you want to die on?" they're not threatening you, they're suggesting that you're acting very entrenched over something that's pretty minor and unimportant in the grand scheme of things.