If someone threatens to burn down my house why can't I press charges just cause they weren't holding a gas can.

You can absolutely press charges for attempted arson/murder, if and only if, they take single step towards the crime of arson.  You can and should certainly file a police report. The law cannot punish people saying assinine things. But the moment somone does something on a threat, they have just committed a serious crime.   Good luck to you.