Warning about echo in that place (7)
I believe the answer is:
Here is my best explanation:
'in that place' is the definition.
'warning about echo' is the wordplay.
'warning' becomes 'threat' (threat is a kind of warning).
'about' means one lot of letters goes inside another.
'echo' becomes 'e' (phonetic alphabet: alpha, bravo, charlie etc.).
'threat' enclosing 'e' is 'THEREAT'.
(Other definitions for thereat that I've seen before include "Theatre (anag)", "After that", "At that point", "On account of that" and "At that place".)