You're a daycare teacher. A 4-yo kid gets mad at the teacher and says, "I'm going to get a gun and come back and shoot you!" How would you react?

She should report the incident and address it with the parents. As unlikely as it is a 4 year old would do that, it has happened and any threat should be taken seriously. I know a principal who has confiscated a collection of knives from various children at an elementary school.