In first grade, I wouldn't explain anything to him. Book "appointments" those days such as hair cuts and use those as the reason he's not in school. You won't be the only parent doing this. There's a chance he'll hear about the threats from older kids but summer is coming up and he probably won't remember by the time school starts up again in Fall.
For older kids, I'd also keep them home. It's unlikely the threats will materialize but those days are stressful and personally I've never regretted erring on the side of caution when it came to my own children.
- Parent and teacher who is absolutely sick of this crap