That's my point, as PIC it's ultimately "my" aircraft, so in order to make as good a decision as possible, I need as much info as possible.
Hence calling Vilnius.
If Vilnius would have confirmed the threat, then it would have, at least to me, been credible. If they "would have no idea what they're talking about", then I would have been much more sceptical as to the credibility of the threat. At the end of the day, with a bomb threat you land as soon as possible, if not VNO due to threat, then KAU (weather permitting).