The best translation for that would be

La Russie a dit qu’elle arrêterait de fournir de l’essence, mais de nombreuses personnes pensent que ce ne sont que des menaces en l’air.

If you are really looking for an idiom, I may suggest you

La Russie a dit qu’elle arrêterait de fournir de l’essence, mais de nombreuses personnes pensent que ce n’est que de la poudre aux yeux.

Voilà quelques autres choix :

• mener sabre au clair

• montrer les dents

• jouer les gros bras

If there’s an implication that the threat could be carried out, then démonstration de force is fairly common and can be used in military contexts as well as in more figurative contexts. It literally means “show of strength”, but is often used to imply that the show is intended to frighten opponents into thinking themselves inferior.

If the threat is more of an idle threat, then menaces en l’air (lit. “threats in the air”, i.e. threats that could not have serious consequences) (proposed by Oltarus) is a possible translation.

In between, montrer des dents (lit. “showing teeth”) (proposed by Jim) implies menacing behavior without indicating how dangerous the threat may be.

Linguee suggests a few other translations, including:

• Rodomontade (guerrière). A rodomontade is a pretentious and ridiculous attitude, usually a boast; rodomontade guerrière suggests a show of (apparent, real or not) force that the situation does not call for.
• Bruit de bottes (lit. noise of boots). The image is that of soldiers wearing boots and patrolling the streets, a display of military presence (and usually of force).
• Bruit de sabres (lit. sabre noise). This is more of an attack stance than bruit de bottes.
• Intimidation.

You could use the term bluff, which comes from the English language (with Oltarus’ translation):

La Russie a dit qu’elle arrêterait de fournir de l’essence, mais de nombreuses personnes pensent que ce n’est que du bluff.