Mast explains the reason rather clearly:

  The reason for its existance was that it was supposed to be
  supported to be possible to write

    Thread t = Thread(...);

  Unfortunately that was completely and utterly wrong. The loads of
  optional modifiers in the file is a telltale sign that the module
  Thread, which contains tools to use with threads, and
  Thread.Thread, which represents a specific thread, are two
  completely different things. That being the case, it's hardly wise
  to give them the same name.

  An example where this stunt breaks down is when the module is
  inherited: If the type name for a thread object is Thread then it's
  reasonable to believe that you can inherit Thread to make a custom
  thread class with some extra context. But not only do you get loads
  of stuff with that inherit which are meaningless to have in a
  thread instance (mutexes, queues, etc), you also get a nonworking
  thread since the create function is overridden here to avoid a
  thread being created when the module is created.

  Using Thread as a type name for thread objects has been strongly
  discouraged. I.e. use "Thread.Thread t = Thread.Thread()" and _not_
  "Thread t = Thread()".

The feature has been discouraged since Pike 7.7.10 (2004-10-14), and
is likely to have been broken since at least Pike 7.7.28 (2006-04-07).

This commit also marks Thread.`()() as deprecated.