There are two ways of creating a new thread: and depends on whether the record already had discussion threads created or not.

No discussion threads created

When the record does not have any discussion thread created and you open the Discussions action, there is a field in order to type a message (and that message will be the beginning of the new thread):

Create a thread in a record that has other threads

In this scenario, click on 'Create a new thread', and a new field will appear so to type the message and send it.