6061 T6 is the way to go.
I've used it for all kinds of things for years and years. Hard to find one that machines better for most uses and it's readily available everywhere.
It threads well as long as you use a lubricant. (I'm assuming you use taps and dies dies)/ It's sort of stringy so reverse (turn it backwards just a little) the tap or die frequently to cut the chips loose so they don't start chewing up the thread you're making.
If you're threading aluminum to screw into aluminum -I'm thinking cap to body- you will probably have wear problems and a rough feel since aluminum has a good deal of friction against itself. Aluminum to plastic or aluminum to brass will thread together better and have a better feel. Lubricant offsets this but isn't really acceptable for pens.