Session beans don't handle threads, their container does. Stateless session beans are by definition re-entrant and thus thread-safe, allowing the container to use any instance for any client. Stateful session beans, on the other hand, are always bound to a specific client session and only accessible by it and whichever thread (for efficiency, there probably isn't a 1:1 relation between clients and threads) is currently serving that particular client. So, no threading issues here, either.

For more information, see the EJB spec.