We know of this event from two sources : Strabo (Geographica, VII-3-8)^1 who was paraphrasing Ptolemy Sôter description of the encounter between Alexander and Celts (i.e. the populations met by Greek in southern France and northern Italy) and Arrian^2 (Alexander Anabasis; I-4) probably taking from the same source.

While the event is indeed known,the interpretation itself can be debated. Strabo and Arrian themselves saw there merely an example of barbarian simplicity and straightforwardness, if not bragging : they respected Alexander, didn't understand his secret motive and simply told think as they thought. And, eventually, this might have been a part of the Celts' answer to the king : they did not fear him, partly because they knew he was not going to attack them anyway, but because they respected him and were probably looking for military employment and because Alexander seemed interested in exotic people beliefs (if his famed encounter with Indian wisemen is to be trusted), went with this easy-going wit to not antagonize him.

It might not have been the entire story for Ptolemy, however : when he wrote the description of this encounter, Celts (i.e. essentially the people Greeks met in modern southern France and northern Italy) were better known to Greeks than before and yet not associated with a military threat as Galatians were after their raids and settlements in southern Balkans after Alexander's death. In the same time, appears sort of a literary trope where a famous and learned Greek met with Barbarians and was confronted to their own acute beliefs would it be Gymnosophists, Egyptians priests, Chaldeans and in this case, Celts from the western corner of the world.

And these Celts received and welcomed sumptuously by Alexander were likely not nobodies but among the leaders of the groups present along the Adriatic Sea, (due to both a tradition of military service in the Adriatic and migrations along the Danube) : in the IIIrd century, they might have well meant taught by Druids if not Druids themselves that we otherwise know not only as priests and philosophers, but also diplomats; and thus reflecting something more than mere banter and simplicity in discussing with the Macedonian king and his court.

Even as we're deprived of any direct account of these beliefs, we can still benefit from some propositions.

In ancient Indo-European cultures, neither the underworld or heavens were purely spiritual places but also geographical locations that were related to our own living world and ancient Gauls were seemingly no exception : maintaining an ordered cosmical relation (highlighted by open-sky sanctuaries, cremations or sky-burials, tentatively present in Roman-Era representation of Cernunnos whose antlers might be supporting the sky) was probably as something essential to its continued existence than in Roman religion, and that unbalance or catastrophic events could unbalance or even break as it came not only to the living world people but also with the otherwise immortal souls that joined these spheres, according to Strabo, (idem; IV-4)^3 either where they were to be recreated or joining with gods.

In this perspective, the sky falling on them would be an eschatologic event of utter destruction, not just in this world but on the otherworlds as well, something beyond the measure of a sole man's threatening or malevolent power.

The ambassadors would have thus made a point about their physical bravery, a virtue praised and taught by Druidic tenets, but also a more intellectual point about their beliefs and own religious and philosophic beliefs. How much was it representative to broad beliefs in ancient Gaul or the La Tenian horizon (that is the only regions and peoples where Druidic presence is actually attested for in Antiquity) is of course difficult to say, but it seems otherwise fitting enough to other sources.

^1

And Ptolemaeus,​ the son of Lagus,​ says that on this expedition the Celti who lived about the Adriatic joined Alexander for the sake of establishing friendship and hospitality, and that the king received them kindly and asked them when drinking what it was that they most feared, thinking they would say himself, but that they replied they feared no one, unless it were that Heaven might fall on them, although indeed they added that they put above everything else the friendship of such a man as he.

^2

All the envoys said that they had come to seek Alexander's friendship. To all of them he gave pledges of amity, and received pledges from them in return. He then asked the Celts what thing in the world caused them special alarm, expecting that his own great fame had reached the Celts and had penetrated still further, and that they would say that they feared him most of all things. But the answer of the Celts turned out quite contrary to his expectation; for, as they dwelt so far away from Alexander, inhabiting districts difficult of access, and as they saw he was about to set out in another direction, they said they were afraid that the sky would some time or other fall down upon them. These men also he sent back, calling them friends, and ranking them as allies, making the remark that the Celts were braggarts

^3

*However, not only the Druids, but others as well,​ say that men's souls, and also the universe, are indestructible,​ although both fire and water will at some time or other prevail over them. *