A "conceptual threat" is danger we manufacture in our minds. 

"Worrying is like paying a debt you don't owe." Mark Twain

It's not an immediate, verifiable danger. It's imagined danger. 

"Perhaps the worst will happen, perhaps not, but until then, look forward to better things." Seneca 

We tend to imagine more danger than actually exists. 

"There are more things that frighten us than injure us, and we suffer more in imagination than in reality." Seneca

Key points

• Needless worry is triggered by conceptual threats.  
• We are wired to look for danger - its a heritable survival instinct. 
• Our negativity bias over estimates the probability of bad outcomes.