The short answer is that no, you almost certainly cannot sue.
This is for a large number of reasons. First, both the State and Federal governments have sovereign immunity, according to the Supreme Court. This says means that you cannot sue the government unless it has, in some statute, consented to the suit. Though the federal government did consent to some tort suits in the Federal Tort Claims Act, the Act expressly excluded the kind of claim you are trying to bring here. In particular, the Act indicated that it did not apply to the following:
Any claim based upon an act or omission of an employee of the Government, exercising due care, in the execution of a statute or regulation, whether or not such statute or regulation be valid, or based upon the exercise or performance or the failure to exercise or perform a discretionary function or duty on the part of a federal agency or an employee of the Government, whether or not the discretion involved be abused.
This means that you have no ability to sue the government for refusal to prosecute. You could, however, sue the officers of the government responsible for enforcing the law. The problem there is that, in this circumstance, those officers also have nearly impenetrable immunity against a suit.
Prosecutors can exercise prosecutorial discretion; this means that they can decide what cases they will prosecute and which they won't (though they may not be able to bring charges if they cannot demonstrate probable cause that the accused committed the crime).
Prosecutorial discretion is nearly absolute; barring a decision to prosecute for racially discriminatory reasons or vindictive reasons (i.e. choosing to prosecute as revenge for the defendant's legitimate exercise of his rights), a prosecutor's decision to prosecute or not prosecute is essentially immune from attack. As Justice Powell explained in the majority opinion in Wayte v. United States 470 U.S. 598 (1985):
In our criminal justice system, the Government retains "broad discretion" as to whom to prosecute. "S[o] long as the prosecutor has probable cause to believe that the accused committed an offense defined by statute, the decision whether or not to prosecute, and what charge to file or bring before a grand jury, generally rests entirely in his discretion."
This broad discretion rests largely on the recognition that the decision to prosecute is particularly ill-suited to judicial review.
This leaves you with essentially no grounds upon which you could sue for failure to prosecute. However, even if you believed you'd found a brilliant and unassailable argument as to why failure to prosecute in this case constituted one of the rare exceptions to the general presumption that a prosecutor is acting permissibly when exercising prosecutorial discretion, you would still run into the problem of standing.
To bring a suit, you must have standing. To have standing, it is generally required that you are suffering or will imminently suffer an actual injury as a result of some action on the part of the party you are suing, and that this injury is redressible by a favorable legal decision.
The problem here is that you have likely not suffered an injury, nor will you imminently. Dangerous as this group may generally be, unless you can demonstrate that you specifically have or imminently will suffer an injury, and can reasonably trace this injury to government action, you won't have standing to sue. The Court has required a high degree of specificity and certainty when claiming standing due to imminently impending injury; see, for example, L.A. v. Lyons 461 U.S. 95 (1983), Lujan v. Defenders of Wildlife 504 U.S. 555 (1992), Clapper v. Amnesty International 568 U.S. ___ (2013).
But let's say that you actually were harmed by this group subsequent to their threatening of law enforcement officers, and so claim that you suffered actual injury. Let's also say that, to avoid the issues of prosecutorial discretion, you decided to sue the police for failing to prevent injury to you, rather than prosecutors for failing to penalize threatened injury to others.
In this case, you would find that the Court would not consider the police's failure to protect you a violation of any of your rights. The Court has never recognized an individualized right to protection from the police, and has never considered even a negligent failure on the part of police to protect a person actionable.
The case of Castle Rock v. Gonzales 545 U.S. 748 (2005) dramatically illustrates the Court's reluctance to hold police accountable for failure to protect the lives of citizens. Prior to this case, Jessica Lenahan-Gonzales had obtained a restraining order against her husband, which required him to remain at least 300 feet from her or her children. This restraining order contained a notice to police that read, in part:
YOU SHALL USE EVERY REASONABLE MEANS TO ENFORCE THIS RESTRAINING ORDER. YOU SHALL ARREST, OR, IF AN ARREST WOULD BE IMPRACTICAL UNDER THE CIRCUMSTANCES, SEEK A WARRANT FOR THE ARREST OF THE RESTRAINED PERSON WHEN YOU HAVE INFORMATION AMOUNTING TO PROBABLE CAUSE THAT THE RESTRAINED PERSON HAS VIOLATED OR ATTEMPTED TO VIOLATE ANY PROVISION OF THIS ORDER AND THE RESTRAINED PERSON HAS BEEN PROPERLY SERVED WITH A COPY OF THIS ORDER OR HAS RECEIVED ACTUAL NOTICE OF THE EXISTENCE OF THIS ORDER.
One day, Gonzales arrived home to find her children missing. Suspecting that her husband had taken them, she called the police. After waiting around an hour for the police to act, she called them again. When the police didn't act after another hour and a half, she called them again. Finally, after another two hours, she visited the police station herself, in order to urge them to find her husband and recover her children.
Around three hours later, her husband arrived at the police station and opened fire. The police killed him in a shootout, and searched his car, finding the corpses of Gonzales' children. Gonzales sued the police department for depriving her of her rights without due process of law, in violation of the 14th Amendment.
The Supreme Court eventually heard the case and, 7-2, ruled that neither the law nor the notification to the police on the restraining order created an individualized entitlement on the part of Gonzales to enforcement of the restraining order. As such, Gonzales was without recourse against the police for their refusal to assist her in recovering her children.
All of these cases, statutes, and principles taken together should indicate the virtual impossibility in pursuing a claim against the government in this case. Whether the government merely failed to prosecute or refused to prosecute, and whether you have or haven't suffered an actual injury, there are multiple insurmountable or nearly insurmountable barriers in the way of successfully winning the kind of lawsuit you want to pursue.