Because the Nazi party itself was a divided organization with different wings much like modern political parties. The SA represented the power base of the "socialist" wing of the National Socialist party, made up of working class men who expected that once in power Hitler would make anti-capitalist policies in favor of his working class followers. Note that this did not make them any less anti-Communist or anti-Semitic.

In the weeks and month after the Nazi party took power the SA men started to demand jobs and benefits from various German firms and industrialists. Also, among other things, the leaders of the SA were proposing that the German army (Reichswher) be relegated to a training role and the SA become the new German army. There were also calls for a "second" revolution even more radical than the first to achieve their goals.

This alarmed many of the more conservative elements of German society which Hitler had made an alliance with to consolidate his power in Germany. Hitler was faced with a choice on whether to back the street brawlers which helped him take power but were of questionable value once he was in power and were potential political threats, or the generals and industrialists whom he needed to properly rule Germany. He chose the latter. Therefore, the SA had to go to placate the army and industrial elites and led to him personally leading the party which arrested Rohm.

And do you think they were actually a threat to his power?

The only eye-witness account of the plan to remove Rohm we have is from those involved is from Goring at the Nuremburg trials, so it is sketchy to say the least.

The SA were an integral part of the Nazi party from the very beginning and Rohm was one of Hitler's right hand men. Himmler, who was restructuring the police and security services wanted to ensure he was irreplaceable and wanted to ensure the SS gained total control over policing.

Himmler and Heydrich constructed a rumour that Rohm was planning to over throw Hitler in the first week of June and that the SA was being infiltrated by communists.

Then Hindenburg called a Hitler to a meeting at his home where he informed Hitler that unless Rohm's power was curbed, he would declare martial law. This ultimatum made up Hitler's mind, Rohm's fate was sealed.

A week later, Rohm was expelled from the German Officers League and Hitler sought council with Goring, Himmler and Goebbels and it was decided that Rohm would have to be eliminated.

Was there a threat?

Personally I think not. Frick later said he didn't believe Rohm wanted a coup and it has been shown that Von Reichenau was involved in coercing fabricated evidence that Rohm was planning a coup. I see the whole affair as a power grab by Himmler and used by other leading Nazis to show their value to Hitler.