It doesn't have threads per se, but it does have about a quarter turn of a "thread." It's a locking ring that slides on, then is turned to hold the bulb in tight. Unscrew it about a quarter to a third of a turn CCW, and the ring pulls straight off.

FWIW, the ones on my car have always been a bear to remove. I usually use a wadded-up piece of shoptowel to help keep my fingers from getting bruised.