Only the Concurrent Theta Sketch, which can be derived from the UpdateSketchBuilder can be considered thread-safe. None of the other sketches in this library have been designed for concurrent operation and should be considered not thread safe.
Most systems that incorporate sketches generally design a wrapper class that maps the required sketch API to the host system environment API. This is the simplest place to encorporate thread synchronization.
Be aware that some systems (e.g. Spark) may assume thread safety of user modules especially during serialization and deserialization steps.
As an example of how the issue of concurrency can rear it ugly head refer to this issue.