Because they use ActivityPub, both of them can potentially interact with each other (post, viewing, following, liking, boosting, etc). There’s no way to stop Threads from being able to interact fully with Lemmy if it’s something Meta wanted to implement.
Mastodon can already interact with Lemmy directly by following communities, posting to communities, and interact with posts/comments. Lemmy doesn’t go the other way though because it isn’t implemented, but it could be.
Any ActivityPub software/platform/website can interact with any other ActivityPub software/platform/website if it so wants to, that’s the power of ActivityPub.