Did you read the article?

Curtailing aid to Ukraine will only prolong the war, Mr Zelensky argues. And it would create risks for the West in its own backyard. There is no way of predicting how the millions of Ukrainian refugees in European countries would react to their country being abandoned. Ukrainians have generally “behaved well” and are “very grateful” to those who sheltered them. They will not forget that generosity. But it would not be a “good story” for Europe if it were to “drive these people into a corner”.

He's not saying "if we lose the war, there will be a refugee crisis". He's not talking about hypothetical future refugees.

He's saying that if the west stops supplying Ukraine, the millions of Ukrainians already in western countries will react badly.

And from there, it's not a leap to call it a threat.