Yeah, is that a problem?
Oh, yes it is. Spawning a very large number of threads will most certainly take an heavy toll on the machine's resources and at best slowdown everything (or more probably bring your machine down), even if many of them are idle at any point of time.
Other monks have already explained while I was off-line that it is much better to have a relatively limited number of threads picking work from a job queue (or something similar), and I absolutely agree with ikegami and tye on that.
(And this is why I candidly asked the question in the first place, as well as to make sure I understood you correctly, because the idea seemed so extravagant to me.)