"Threatened" means the police warned the crowd that they might give them "citations" which are orders to appear before a judge or go to court for "disorderly conduct" which is acting out, being loud, disrupting the public space, or (in this case) throwing things. A person can be threatened by another person with punishment, pain, fear, or anything that one might wish to avoid. Often the receiver of a threat is expected to change their behavior - if they don't, the person threatening them may enact the threat: they may punish, inflict pain, or do the activity that the first person might want to avoid.
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stephenlearnerEventually they were escorted out and threatened with citations for “disorderly conduct".Eventually they were escorted out and told that they might be given notices that that had behaved in an inappropriate way. (As the result of these notices they might have to pay a fine or appear in court.)