CONFIG_KGDB_THREAD is not available for thedefaultarchitecture x86.
Result is shown for architecture sh
default or selected kernelversion does not have config value CONFIG_KGDB_THREAD.
Result is shown for kernelversion 5.4.123

Include KGDB thread support

configname: CONFIG_KGDB_THREAD

Linux Kernel Configuration
└─>Kernel hacking
└─>KGDB configuration options
└─>Include KGDB thread support
In linux kernel since version 2.6.12  
depends
CONFIG_KGDB