It's common to have loose threads from the manufacture process, just make sure that the threads you're refering aren't structural (binding thread)
Inspect the thread and find out if it's from the material that the BC is made of or if the thread is the binding thread material.
My wing came with a few threads like you described and I just made sure that it wasn't the binding thread and burned them flush with the outer shell (after removing the inner bladder of course), it made sense to me to fix it myself since a replacement would have added a few shipping costs to me. Turned out that the loose threads were part of the outer shell material that came loose when it was cut, similar to when you cut a jean and the ends unravel until it sets in.
This BC has over 100 dives and no threads have come loose ever after the small shave performed by me.
What BC you have? Outer shell and bladder or single bladder type?
Of course, if you bought it locally, take it to your dealer and ask for an inspection of the BC.