While agency detection has been used to explain religious phenomena, there are two competing theories regarding the neurocognitive mechanism underlying it: hyperactive agency detection device (HADD) and the predictive processing-based model. Those two theories differ in their predictions regarding the impact of feeling of threat on agency detection. The present study aimed to put this hypothesized effect to a new test in virtual reality. One hundred ninety-nine participants explored an agentless, foggy virtual forest, instructed to press a button whenever they perceive a being. While all participants were primed to expect a stable number of agents, we manipulated the description of beings, introducing them as either hostile or neutral, depending on the group. We also measured participants’ heart rate and their reported anxiety during the task. To test our hypotheses, we performed a Wilcoxon’s test for our main analysis. Two linear regressions models have been run to examine the moderating effect of arousal and whether anxiety mediates the relationship between priming and agency detection. We also performed a test of statistical equivalence and exploratory analyses. The study did not confirm that people are more likely to falsely detect agents when they expect them to be dangerous, which casts doubt on HADD conceptualized as a threat-triggered mechanism. However, we found several patterns in both quantitative and qualitative data which call for further studies on the topic of agency detection as a building block of religious and spiritual phenomena.