As soon as you attempt to join the app, Threads will show you a message outlining how the app functions. "The Instagram platform includes Threads. We will personalise advertisements and other experiences across Threads and Instagram using the information from your accounts on those two platforms."
The statement states: "Future versions of Threads will work with the fediverse, a new kind of social media network that allows users to follow and communicate with one another on various platforms, like Mastodon."