Consider charges of conspiracy, or of access to classified material. If the suspect destroys the evidence, and commits/have not already committed any other crimes -- should we really use the resources to investigate and prosecute such thought crimes?
We risk loosing sight of the fact that punishment is not a goal, it's a means to an end. Hopefully that end is a free and safe society.
edit: where thought = imaginary
I've long held that "conspiracy to X" charges were just a way for the government to throw the book at someone they otherwise wouldn't be able to.
A woman breaks up with her abusive husband and he threatens to kill her. There's some record of him saying this. Should society do nothing to protect her? Men are known to be physically stronger. What kind of society would we be if we did not provide her some protection by putting space between her and the husband? Presumably courts would decide if it's necessary to jail him or just use a restraining order. And ultimately his punishment wouldn't be the same as if he actually committed the murder.
This becomes a real problem in the case of a repeat offender. The offender realizes he can deliver some "light" abuse and threats. Officials try to lock him up, but he only stays behind bars for so long, and unless the wife agrees to press charges and testify, there is little law enforcement can do. The wife is often terrified and won't testify.
It is situations like these that authoritarian regimes like China and North Korea will point to to suggest that democracy is nuts. Under their authority, they could easily jail or kill such an individual.
In real life, there is a balance struck between laws and rights in the interest of furthering a trustful society. Different cultures draw the line in different places. I'm not familiar with what countries do not have laws against threatening someone's life but you could try to find one and see if you might like to live there. My guess is there aren't many and the bigger a country gets, the more likely they have this kind of law.
It is one thing for me to say "let's kill Bill". It is an entirely different thing for me and you to surveil his movements, his schedule, to develop code names, to discuss scenarios for action, to procure means to assassinate him. You can show evidence of serious intent in a conspiracy.