He responded to journalists' questions on the reported threats as he left the court building saying, 'Come and get me' before speeding off in his luxury car.
McGregor's father Tony earlier said claims that his son had been in the brawl were "absolute nonsense".
He insisted no one was after them and his family have "nothing to fear".
Read more: Conor McGregor throws a punch at an official
"We have nothing to fear here whatsoever. There's no one after us for anything," Tony McGregor told the Irish Mirror.
"It's an absolute nonsense story. It's grown legs and it's getting that ridiculous – it's become funny.
"We're a law-abiding family and we've stayed a law-abiding family".
Meanwhile, a judge accused McGregor of giving the court the "fingers" after earlier failing to appear for a third time to face his £350 (NZ$690) speeding fine.
McGregor pleaded guilty to breaking a 100kmh speed limit in Dubai on March 13.
He was given two months to pay and could do so in instalments despite his huge cash-in from the Mayweather fight.