Many states have followed California’s lead in the case of Tarasoff v. Regents of the University of California by passing laws that permit or require therapists to breach client confidentiality in order to warn or protect a potential victim of the client. The specific requirements vary, but in most states, the duty to warn/protect applies only when a client has communicated to the therapist a serious threat of physical violence against an identifiable victim or victims. The appropriate action to take depends on the provisions of relevant law but may include hospitalizing the client, warning the potential victim, and notifying the police.
Note that above, the law is for only when a client communicates to the therapist about a serious threat of physical violence. Therefore this would not include your client telling you about a threat that was made by a neighbor, or even a spouse/partner. In those situations, you would want to talk to the client about what he or she can do since they heard or know about the threat (such as calling the police themselves, etc.), but you have no legal requirement to report the threat. In fact, you could be breaching confidentiality if you did report this since it was not a direct threat from your client heard by you as the therapist.