Power.
Or rather, the illusion of it. It can be such an addictive drug, that some people fool themselves into thinking they have it by threatening others. He knows that, if he phones in a bomb threat, certain things are going to happen in a certain order. He is the one who determines whether they happen at all, and at what time, and, by his choice of place and the amount of warning time, how fast things will progress. If he set off the bomb without warning, there is no fear and chaos for him to watch, nobody hurrying to save their own skin, all that's left is the cleanup. In the worst case (according to a perp) and the bomb went off, there would actually be heroes who saved a life or rescued someone, and they would be above him, out of his reach socially. By calling in the threat, he gets the equivalent of chickens running around with their heads cut off, and he can feel superior.