Yes, it makes sense. A bluff is something of a fake threat. A threat is considered to have some basis in reality - some action that might actually be carried out. A bluff is a threat that the person or people making it either do not intend to carry out or do not have the actual ability to carry out. If I point a gun at you, that is a threat. If the gun has no bullets and I know it, that is a bluff. You are actually in no danger, even though you may be fooled into thinking you are.

I'm going to be the dissenting voice and say that this phrase doesn't make much sense. The reason is, something can be both a bluff AND a threat. An example usage from the web: 'Iranian threat nothing more than bluff'. It is not a question of whether something is exclusively either a bluff or a threat.