The warnings pragma has a threads category, so maybe...

use strict;
use warnings;
no warnings qw[threads];

use threads;

my $thread1 = new threads(\&my_sub);
my $thread2 = new threads(\&my_sub);

sub my_sub {}

exit; # needs explicit exit for reasons beyond me
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It's been a while since I tangled with threads, but the above quiets the warnings with 5.10 on Win32.

Addendum: See also the "WARNINGS" section of the threads.pm documentation.