Federarting means there's a two-way road between your instance and threads.net and traffic can flow both ways. When you defederate it stops the traffic flow from threads.net to you but the traffic from you to them is unchanged. Even if every single instance defederates them they can still see all the content that's posted there. Nobody else just wont see any of theirs. Only your instance admins know your email, ip-address and so on but all your posts and messages are publicly available to anyone and you can't stop them from accessing it.
It's basically the same thing as blocking an user. You wont no longer see their messages but they will see yours.
EDIT: Turns out I was mistaken. Defederation indeed does stop the flow of data both ways.