Causal questions often permeate in our day-to-day activities. With causal reasoning and counterfactual intuition, privacy threats can not only be alleviated but also prevented. In this paper, we discuss what is causal and counterfactual reasoning and how this can be applied in the field of privacy threat modelling (PTM). We believe that the future of PTM relies on how we can causally and counterfactually imagine cybersecurity threats and incidents.