“That thing” refers to a weapon. Usually said as a curiosity or warning without the actual weapon being visible.
For example it’s said within the gun community you should never point a gun at something or someone you do not intend to shoot.
So letting someone know you’ve got that thing is a less aggressive way of saying you’re prepared to protect yourself if you have to.
Aside from being less aggressive it’s thought to be the best way to
potentially avoid legal issues that could arise wether or not you actually have to use
whatever it is you have which may or may not be a gun or even illegal.
Saying that thing also can imply you do not want to use
whatever it is you may have and therefore you’re not trying to have a situation escalate any further or warn someone you are reaching a point of feeling like you are in a life threatening situation and feeling a need to defend yourself in order to not be harmed.
“I
keep that thing on me.”
“You don’t
want to find out I got that thing.”
“Don’t mess with her she got that thing and she will use it.”
“That thing that you don’t
want to f*** with.”
