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GH-40432: [C++] Add missing Threads::Threads dependency to arrow_static (#40433)

### Rationale for this change

`libarrow.a` uses `std::mutex` and so on. So we need to link to `Threads::Threads`. But #39824 dropped it accidentally.

### What changes are included in this PR?

Add unexpectedly dropped `Threads::Threads` dependency to `arrow_static` again.

### Are these changes tested?

Yes.

### Are there any user-facing changes?

Yes.
* GitHub Issue: #40432

Authored-by: Sutou Kouhei <kou@clear-code.com>
Signed-off-by: Sutou Kouhei <kou@clear-code.com>