The threads don't form the seal, even when tight. The seal when you tighten the valve occurs at the conical tip of the screw against the hole in the caliper or cylinder.
I've wrapped Teflon tape around the threads of bleeder screws which helps keep them from leaking, but I've done this mainly to prevent them from seizing up from rust after a few years of sitting around. And no, it doesn't make them come loose on their own.