Jeff Baker, an unemployed father-of-two, fears the terrorists - who police believe had planned to plant the device at the Conservative Party conference at Bournemouth in October - may punish him for stealing it.
'We're talking about people who don't stop at anything to make their point - they could do anything to get me back,' Mr Baker, 31, said. 'These are terrorists who blow up people or take their kneecaps off.'
Anti-terrorist officers released Mr Baker without charge after questioning him about the seven kilograms of Semtex he found in a holdall he stole from a train at Reading station on Thursday.
Mr Baker told Scotland Yard's anti-terrorist detectives that he took the holdall from the Manchester-to- Bournemouth train because he thought it belonged to a 'little old lady I was helping off the train'.
He said: 'I helped her out of the carriage and offered it to her. She had several bags and was struggling a bit. I said, 'There you go madam' and offered her the holdall. But she said, 'Oh no young man. That's not mine'.
'She then disappeared down the platform, quite fast. I thought, 'Oh well, I'll keep it' and walked off towards my sister's house.' He was arrested after dialling 999 to admit that he had stolen the bomb. Earlier, in his panic, he dropped the holdall three times as he walked from the station to his sister Jeanette King's home.
Police have issued pictures of two men who may have shared a train compartment with terrorists carrying the explosives. One was aged about 42 with brown, greying hair and wore brown-rimmed spectacles, a brown leather jacket, blue jeans and white canvas trainers.
The other was about 30, 6ft 2ins tall and thin, with shoulder-length mousy-coloured hair. 'Police are keen to speak to them as they may have further information about the holdall,' Scotland Yard said, making it clear they were not suspects.
Officers were disappointed with the response to appeals for witnesses. Only a handful of the 260 passengers on the train had come forward. Mr Baker, who boarded the train at Oxford at 11.24am, took the holdall before getting off at Reading half an hour later.