A thread is a series of messages or replies to one post. The main post serves as the root of the discussion and the ‘thread’ is how everyone interacted with that post.
Threads are great ways to keep relevant discussions together. In a community, at once there might be tons of discussions going on, so it can get extremely confusing and frustrating for every member to have to reply with a whole new post.
This is why threads exist. It gives people an option to go as deep as they want on a single post, without crowding the channel with overwhelming content. A systematically organized conversation thread is also easy to reference and find in the long run.