North Korea has made a series of threats against the United States since being sanctioned by the United Nations in March for conducting nuclear tests.
On Friday, North Korea said it could not ensure the safety of embassy staff inside its borders, should a war break out.
Hague called Pyongyang's threats "paranoid rhetoric," the BBC reported Sunday.
"We have to be concerned about the danger of miscalculation by the North Korean regime," Hague told the BBC, adding that it was important to "keep calm as well as to be firm and united."
Hague said Britain has not "seen any immediate need to respond to that by moving our diplomats out of there," adding that his country would "keep this under close review with our allies and international partners."
"What is going on is what we have often seen throughout history," he said. "This is a regime that has to justify the intense militarization of their society."