Threat cues elicit defensive reactions mediated by limbic brain circuitry that is also implicated in risk-sensitive decision making. Building upon research looking at stress effects on decision making, a gambling task was administered to 65 healthy adults, comparing decision making on trials on which a red screen background signalled threat of shocks against trials when shocks could not occur. The threat cues elicited increased electrodermal activity and a sustained decrease in heart rate, consistent with defensive vigilance. The threat condition was associated with risk-avoidant choices, on trials where the risky option involved moderate losses and when choosing between options involving only losses. These effects were not explained by changes in latency. Threat exerts immediate effects on decision making and physiological arousal, biasing subjects towards safer alternatives, potentially through a magnified processing of loss information.