In a nut shell, the largest threat to the Imperium of Man (that's us, sort of, in the year 40000) is Slaanesh, the God of Chaos, Pleasure, Passion and Decadence. (as far as I know anyway, I'm not super knowledgeable about the lore)
The Imperium is extremely xenophobic and dogmatic (think Space Nazis), and thus regards anything possibly hostile to the Imperium as heresy.
It's less like space nazi and more like space crusades Vatican. The main enemy of the imperium is chaos, a collection of gods residing in the warp, a parallel dimension often used for faster than light travel, who oppose the god emperor as he represents order. Anything not conforming to the cult of the imperium is heresy. Anything alien is heresy. The cult mechanicum is basically the only exception as they worship the machine god, the Omnissiah. They only reason they are allowed to exist is that they accept the god emperor as a form of the Omnissiah and they're useful.
Half those crayons have the tips broke off and there's no sharpener. And the rest "Just aren't the right color."
Chaos.
The Imperium is extremely xenophobic and dogmatic (think Space Nazis), and thus regards anything possibly hostile to the Imperium as heresy.