Why would the pilot say anything to ATC? (one has to presume that aircraft communications are being monitored by other parties)
The Company would have informed the crew of a problem, and as a matter of course should then inform all the required authorities. The Company and the threat team would then assess the threat and advised the crew as to possible courses of action.
The crew should open the sealed threat and search plan and action as required.
The P in C is the final authority until police or other national authority take control after landing. (I would refuse a terminal park myself but would be careful of annoucing reason on air)