pull that thread

“If I were you, I wouldn’t pull that thread.”

This means that you should leave whatever the problem or issue alone.

Think about a loose thread on a sweater. If you pull on it, it will unravel, making a bigger problem than you started out with. You see the problem (the thread) and you may be very tempted to get involved or to seek more information (pull it) but it will only make things worse.

Depending on the context, here are some possible phrases that would express similar advice:

Just leave it alone.
Don’t get involved.
Stay out of it.
Don’t make things worse.
Don’t make matters worse.
Don’t look too far into it. It’s not worth it.
Don’t mess with it.

(Monica Mulder)

Sometimes you make matters worse by making efforts to solve a problem from its initial perception which seems to give the impression that you can unravel it easily. It is better to leave things alone rather than acting out of curiosity.