Although I am not a metalurgist, my guess would be probably not.
My first concern has to do with increased costs due to reduced tool life, particularly in the thread rollers. Harder material may cause more problems than it solves in reduced insert life, more trouble controlling rolling diameters and consequent chipping of rollers and premature failure of same.
Since the process of thread rolling deforms the material rather than cutting it, there is an inherent toughening of the threads due to work hardening. I suspect that going to a harder material will NOT yield a significant increase in toughness of the threads. By toughness I mean resistance to damage due to material handling.
Again, I am not a materials person, just an old lathe hand who rolled thousands of threads between 1/4"-28 and 2"-12 dia's on 1040 and 1144 steel and 303 to416 SST.
Maybe someone else can provide better info for you on materials.
I would not suggest changing materials until making a thorough examination of the process. Perhaps in the manner described by Dave Scott above. Once you have eliminated or minimized other failure areas you can experiment and evaluate a possible change in material if failures remain prohibitive.
Based on your earlier questions and responses I note the following:
1) "Lately we find that thread damages have increased in our components ."
This indicates to me that the process was working fine for some period, then began to deteriorate. Therefore something must have changed.
2) "We are facing problems with M10 thread and above , and pitches 1mm or less."
So the problem is with larger diameters (thus heavier) and finer threads (more suseptible to damage). I do not believe a material change would significantly effect this.
What steps have you taken thus far to narrow down the problem? Do you know:
What type of damage is observed? (i.e. torn threads, flattened threads etc.?)
Where is the damage located? (i.e. on the crest of the threads, always near the start of the thread, on the flanks and root of the thread etc.?)
What is the reject rate at the various inspection points?
Let us know what you are currently finding out and maybe we can help you narrow it down some more.