Bluesky's big selling point is that it's an open protocol, but it's their own homegrown protocol that nobody else is using. Meanwhile Threads has working ActivityPub[1]. You can see threads posts on Mastodon. [1] https://www.theverge.com/2023/12/13/24000120/threads-meta-ac...
In all fairness, while yes Bluesky so far has not yet lived up to their promise of decentralisation/federation, it’s still under development. It just hasn’t been built yet. Though, the whole blue sky stack is significantly more complicated than ActivityPub so I’m doubtful as many would actually set up “instances”.
We have 10 servers federating in production, each housing around 270,000 users, and it all runs on disk and sqlite, quite affordable! We migrated 2 million users off a single large host onto these 10 smaller ones transparently and without need for much fanfare. We're dedicated to the tech and seeing it work in production has been super heartening.