You were asking for threads, and gambit has lightweight threads, so I assumed there was a way to use them via ln. Multi-core threading is a different story though.
Kawa Scheme - compile to java bytecode - https://www.gnu.org/software/kawa/index.html
Chez Scheme - compile to C - POSIX & Windows - https://cisco.github.io/ChezScheme/
Cyclone Scheme - compile to C - Linux only - https://justinethier.github.io/cyclone/index
Guile - VM + JIT compiler - POSIX & Windows - https://www.gnu.org/software/guile/
Bigloo - compile to C and java bytecode - POSIX, Windows, Mac, Android - https://www-sop.inria.fr/mimosa/fp/Bigloo/
I guess at the end of the day it's very hard to compete with the JVM.
REPL based development, Interactive development are also features. Multi-core isn't probably the top most thing on everybody's list of things.