Although officially there is no truth as to whether Hamlet knew Claudius was there or not even from the beginning of the 'to be or not to be' speech, the threat your thinking of would be "Those that are married already, all but one, shall live.". This could be interpreted as a threat to Claudius if he didn't know he was being watched, or as him continuing his musings of suicide in order to fool those who are spying on him.