Because freedom pf speech lets him say anything he wants. It would be illegal to incite others to do harm or to actually do harm himself, but he and make all the threats he wants with impunity.

@snytiger6 Try saying you want to kidnap and kill a Governor and you go to jail, but say you want to kill Democrats and it's protected speech?
I don't think so.
I notice I never see people expressing a desire to kill Trump, even if most say they wish he would die of something. I assume you could get in big trouble for saying something like that, not that I would.

@Willow_Wisp I'm not defending their speech. I am just stated how the law works. I think those people who said they want to kill dems are despicable. Being an asshole isn't illegal. If the threats were made against elected officials, then there would be more legal leverage, but the threat was only general threat against democrat voters. It would be a stratch, but they might be able to be charged with voter intimidation. If they show up to polling sites, then definitely they could be charged with that.