that was a legitimate threat

[Jeff Jacobs]

Psycharist Madolyn gives Billy, 2 valium pills:

Billy: Why don't you just give me a bottle of Scotch...and a handgun to blow my fucking head off? We done with this psychiatry bullshit?
Madolyn: You can leave!
Billy: What did I just put myself through? I'm out of here. And what if that was a legitimate threat?

What does "that" refer to?
"that" was referring to Billy's statement that he wanted a handgun to kill himself with. He's trying to make Madolyn feel guilty about telling him to leave by suggesting that his threat to blow his "fucking head off" was serious and not a joke?
Source: The Departed (2006)

 

[LVRBC]

This may be a reference to mental heath professionals' "duty to warn" if a legitimate threat of harm to self or others is made by a patient. This releases the MHP from the obligation of confidentiality. (The word you are looking for is "psychiatrist." There is no word psycharist. I would bet that your spell checker told you that when you wrote it)