"They threaten us with a knife."

Translation: Họ đe doạ chúng tôi bằng một con dao.

[Artikyulet]

"con dao"? Not "cái dao"? Why the heck would knife be in an animate noun class?

[Huy_Ngo]

Both are correct. I would call this an exception. Don't be surprised - Vietnamese is full of exceptions like this.

[TehVanarch]

Irregularities occur in most languages. Outside of con dao (knife) you can also see the classifier in words like con đường (road) and con số (number).