Yes. Your text contains an implied, conditional threat to reveal information that "would look really bad for" your co-worker.
But so what? Slapping the "threat" label on something, by itself, is of no real significance unless your employer has some sort of personal bugaboo about "threats."
Really? Bob Barker used to tell folks that, if they spin the wheel and land on $1.00, they will win $1,000. I once told a friend, "if you give me $5, I'll jump off the roof of my house into the pool." Neither of those things seem like threats to me.

