But it’s not. The only way out to where?
The only way out of this mess? That’s not a threat.
Again, a threat would include “or else.” As in some (either vague or specific) governmental action would be exacted against the NFL. “The only way out” does not suggest any action other than Trump continuing to tweet at them.
The only way “the only way out” could be a threat would be if the NFL was already threatened and there was “the only way out” to prevent continuation of the current threat.