You are probably in edit mode when you are trying to convert to curve.  Alt+C will only come up if you are in object mode.

"In Edit Mode Alt+Select the outer thread.  This is the start of your coil.
Still in edit mode with the coil selected press "P" and Separate Selection.
Jump out of edit mode, select the bolt and delete, you should now be left with the coil.
Next step is to convert the mesh coil to a curve.
Press Alt+C and choose Curve from Mesh."

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