On former Today host Karl Stefanovic's podcast, on an episode released to YouTube on Sunday, the duo talked about their lives after legacy media.
Sandilands claimed multiple threatening letters were left at his office earlier in the year.
"There were death threats, letters in my office explaining, 'If you ever do anything on any platform, we'll kill you, we'll hunt you down'," he said.
"I know these people are lunatics, but what if just one of those lunatics has a weapon? Do you ever think about that?"
Sandilands suggested Australia was entering an assassination culture apparently originating from the United States.
He pointed to the New York killing of UnitedHealthcare chief executive Brian Thompson in 2024, and "fans" of his alleged killer.
"We're living in a very strange society. Those people are taught by other loons all through the education system," he said.
"We've all got extreme mates … we're probably our mates' extreme mates, but we need to be based in some sort of correct assumption of what life's all about."
Sandilands and former co-host "Jackie O" Henderson were let go by ARN over an on-air spat during their show.
Both hosts launched lawsuits against their former employers, and Henderson's remains before the courts.
ARN and Sandilands settled their suit for $12 million in June.
Sandilands since revealed plans for his own subscription based program, Kyle Sandilands Live.
His high-profile legal battle with his former employers, however, had left him disillusioned with the justice system.
He said he was left to feel like the "little person".
"I've spent hundreds of thousands of dollars with lawyers … only for someone to say, 'It was gross misconduct, you're fired'," he said.
"This legal system … it's not fair. Whether I can pay for it or not, it's designed to squash the little person down. And in this case, I was a little person."
Stefanovic similarly told UK journalist Piers Morgan his departure from Nine left him "a bit discombobulated".
"It's painful … (but) I'm not going to stop, we'll move on," he said in July.
"There's a part of me that feels free to really have my own freedom."
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