In fact, it's an issue in the urllib3 library which require threads.

$ cd /home/haypo/pip/PIP/pip/_vendor/requests/packages
$ /home/haypo/prog/python/default/venv/bin/python -c 'import urllib3'
Traceback (most recent call last):
  File "<string>", line 1, in <module>
  File "/home/haypo/pip/PIP/pip/_vendor/requests/packages/urllib3/__init__.py", line 24, in <module>
    from .poolmanager import PoolManager, ProxyManager, proxy_from_url
  File "/home/haypo/pip/PIP/pip/_vendor/requests/packages/urllib3/poolmanager.py", line 14, in <module>
    from ._collections import RecentlyUsedContainer
  File "/home/haypo/pip/PIP/pip/_vendor/requests/packages/urllib3/_collections.py", line 8, in <module>
    from threading import RLock
  File "/home/haypo/prog/python/default/Lib/threading.py", line 4, in <module>
    import _thread
ImportError: No module named '_thread'

Here is a patch for urllib3.

I reported the issue upstream:
https://github.com/shazow/urllib3/issues/289