Mad Hatter's a menace (6)

I believe the answer is:

threat

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But I can't explain it at all! Could you help me understand?

(Other definitions for threat that I've seen before include "Menace of impending evil" , "The rat became a menace" , "Endangerment" , "Expression of intention to harm" , "Impending danger" .)

I've seen this clue in The Guardian.

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