Short answer: Threads are like comment columns to a message, in which all replies and reactions to the original message appear organized in a side column.
Long answer: A big advantage over "classic" messengers like WhatsApp or Telegram is that with Rocket.Chat you can map out more complex communication in a team that is not linear. While in classic messengers all messages appear in a row one below the other and topics are often mixed up, in Rocket.Chat all messages have their own place: the thread. This is particularly useful when different questions are being discussed in parallel within a channel. When a question is asked, you do not reply with a regular message, but rather you hover your mouse over the original message and select "Reply with thread". A sidebar appears where you type in your message. The blue "Reply" button then shows that there is a thread for the original message, and the number next to the speech bubble reveals the number of replies.
Threads are, in a sense, comment columns under chat messages. They help you to structure discussions and your communication in general. By using threads, you reduce the load on the channel and all members. Only those who follow a thread are notified of new replies, e.g. because they have already replied themselves. Nevertheless, everyone can read along and understand what it was about, even weeks or months later.