Developers usually thinks that Windows has a default value for the max number of threads a process can hold. while in fact the limitation is due to the amount of address space each thread can have.
When you create new thread, it has some memory in the kernel mode, some memory in the user mode, plus its stack, the limiting factor is usually the stack size. The secret behind that is the default stack size is 1MB and the user-mode address space assigned to the windows process under 32 bit Windows OS is about 2 GB. that allow around 2000 thread per process (2000 * 1MB = 2GB).