The answer depends on whether you’re looking at the fatality rate (the risk of death among those who are infected) or the total number of deaths. So far, influenza has caused far more deaths this flu season, both in the US and worldwide, than COVID-19. This is why you may have heard it said that the flu is a bigger threat.
Regarding the fatality rate, it appears that the risk of death after coronavirus infection (estimated at 3% to 4%) is less than it was for SARS (11%) and MERS (35%), but may be higher than the risk from seasonal flu (0.1%). However, the numbers circulating right now for this new coronavirus are likely to be adjusted over time as more people are tested and reporting becomes more consistent. For example, testing has been limited at the start of the outbreak, which could result in fewer identified cases, making it seem as though a larger percentage of infections are fatal.