Bomb threats are taken very seriously, has been for a long time and especially after 9/11. As Shane has pointed out, it is part of protocol to check and clear the area whether or not the bomb threat is real. This is just a "better safe than sorry" thing. I'd much rather go through the inconvenience of a lockdown or evacuation in such a situation in that I would be safe if there is a bomb. If there is not, I'd still be glad that precautions were taken and that whoever made the bomb threat would be persecuted.
You just don't joke about "having a bomb in your bucket." or any jokes like that in a public place.