Very carefully try to spin it back in and see if it will snug down to confirm the threads are still there. If it tightens down then loosen it all the way and patiently continue to try removing the jet. The last thing you want to do is drill into the carb body and destroy the threads or dump small shavings into the passages. If the jet will not tighten down then the threads are probably shot in which case you find a new carb.