Nasser al-Qasabi, who appears in a new satirical television sitcom titled "Selfie" aired by the Saudi-owned MBC network, said in remarks published today that he has "the right to express an opinion".
"Allah will protect us. It is the job of the artist to say the truth, even if that is at his own expense. This is the price we have to pay," Qasabi said in remarks posted on MBC's website.
It is not known who has made the threats against him.
In his sitcom that is aired during the Muslim fasting month of Ramadan, Qasabi is a Saudi father who pretends to want to join the militants in Syria in order to bring back his jihadist son.
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Qasabi is shown protesting at the flogging of a young man being punished for listening to music and faints when ordered to slit the throat of an "infidel" captured by the extremists.
He also ridicules female jihadists said to have joined IS to offer its fighters sex.
In another, Qasabi mocks ultra-conservatives in the kingdom, playing the role of a musician who repents and smashes a lute on stage.
In the past, Qasabi repeatedly mocked Saudi Arabia's notorious religious police in his popular Tash Ma Tash satirical comedy that ran for 18 seasons.