Since the invention of the Internet, states have principally focused on building their cyber capabilities in the realm of the military. Only recently have they started to add high-profile diplomacy to their cyber toolbox, through the creation of special ambassadorships to cyberspace. What explains this development? We argue that democracies are becoming increasingly attentive to the subversive effect of cyber-threats on shaping public opinion and eroding trust in democratic institutions. Empirically, we expect this shifting threat perception to be reflected in an increased investment in cyber diplomacy to advance the creation of shared norms and regulations. Our paper presents new global data on all cyber ambassadorships in democracies and shows that a higher number of cyber-threats against a democratic state is significantly associated with an increased probability of this state creating a cyber ambassador position. This relationship is conditional on a country's wealth. The findings demonstrate how shifting threat perceptions impact states' foreign policy decisions as they pertain to cyberspace, thereby contributing to our understanding of the role of emerging technologies in international relations.