A pet toy having a first part with internal threads, and a second part having external threads. When the first and second parts are threaded together by interengagement of their internal and external threads, they cooperate frictionally with one another to prevent, or at least to make difficult, an unintentional unthreading of the two parts from one another, wherein the threaded-together parts form a pet toy. To make unintentional unthreading even more difficult, additional engagement means can be provided on the first part and additional cooperating second engagement means can be provided on the second part.