"Vous n'avez rien pour me menacer."
Translation:You have nothing to threaten me.
"You have nothing to threaten me" is not English. You can threaten someone or something (like a career or future) directly: "Don't threaten me!" But when you threaten someone with something, there must be a preposition. "You have nothing to threaten me with/about/over." ("You have nothing with/about/over which to threaten me.") You could also say, "You have nothing that threatens me."