Even though I voted for Smile, I truly believe that Threatened is a stroke of genius as an album closer:
"What you have just witnessed
Could be the end of a particularly terrifying nightmare
It isn't
It's the beginning"
I’m not sure if this has been confirmed, but I feel like these lines hint at the Invincible album being some kind of infinite loop, like a clock. Threatened ends by leading us back to Unbreakable. At the beginning of Unbreakable, we hear the sounds of fire, as if something terrible has just begun - which is exactly what Rod Serling warns us about.