To connect a Threads account to Funnel, a few steps have to be followed:

First, after having started the "Connect data source" flow for a Threads connector, press "Add credentials". At this point, you will be redirected to the Threads website to login. Login to the account you want to connect to Funnel by clicking the "Continue with Instagram" button.

Then, input your Instagram account username, phone or email address followed by your Instagram account password.

After clicking login, you will be redirected back to Funnel and the below dialog requesting access to your Threads account will be shown. Click the "Continue as <account name>".

After this dialog closes, you will be redirected to the Choose accounts view. Select the Threads account you just logged in with from the list and press continue.

After this, you will be able to make choices on which data to import and the imports will start.

You can read more about common issues that may arise when connecting to Threads in Threads - Troubleshooting