Why is he threatening to leave the party instead of the party expelling him

Because he’s a close friend of Schumer’s, they agree on a great deal of his voting record, and he gives other Democrats cover to hide behind when a GOP bill passes with Dem votes.

Dude’s a lightning rod. You’ll never hear about Sen. Jeanne Shaheen or John Hickenlooper or Elissa Slotkin, periodically breaking to support Trump policy so long as that lumbering ogre is center stage.