Theaded code always interests me, but there definitely is a price to it. Should be noted though that a lot of newer Forths diverge from the classic threaded code model. Because it is a concatenative language, it is possible to have one that compiles native code by copying inlined subroutines (https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.56...).

For example to compile : SQUARE DUP + ; all the compiler has to do is copy the machine code of DUP to the place where SQUARE is being compiled, remove the ret instruction at the end of it, and copy the machine code of + after it. It can also do some small optimizations to remove redundant instructions.

You can do this with other languages, but concatenative languages can make it as simple as literally concatenating bits of code.