The men exploring cape cod hear a "hideous and great cry." why do they at first think that this is not a threat

I believe the answer is: They thought it was animals.

At that time, the colonists still haven't been familiar with the local tribes in that area. By the time they realized that that the sound came from the native (as some sort of war cry that they do to initiate an attack), it's far too late for them to run away.