Every country that has nukes means more risk that some loose cannon sets off a nuke. That is why nuclear non-proliferation agreements are so important.
To demonstrate, what if Saddam and Iran had had nukes during the Iran-Iraq War? Saddam used chemical weapons against the Kurds. Would he use nukes? I genuinely don't know, the man was apparently a psychopath. Would you actually want someone like that to have nukes?
Putin, as part of the 2022 invasion of Ukraine, said that if any countries tried to stop Russia, they would face "such consequences that you have never encountered in your history". It's hard to take that two ways.
Also, much of the point isn't who has threatened to use them. The more nuclear weapons material floating around, the more chance that it lands in the hands of someone with no compunctions about actually using it. The Doomsday Clock gets closer to midnight every time another country gets nukes.