To answer that question, ask yourself what a „physical threat“ means to you. I would bet that (in an industrialized country) for any example there is a chain of events that could possibly be controlled by an AI. Dying of a virus? Could be designed by an AI and sent to bio-terrorists. Being beaten to death? An AI could provoke an angry mob. Dying of hunger? An AI could sabotage the economy of a country until it is back in 19th century. And those examples are „relatively“ benign.