Problem with Multi Threads and Sql Server - TimeOut

I've created a console application that purge some log table (~11). and my application use Parallel.foreach to loop and create some threads.
The flow is something like this:

- Loop creating threads
- Inside one thread
       1 Purge table (~200000 registers)
       2 Save log
       3 If have more registers to purge go back to step 1 (recursive)
- Save general log

All tables have to purge ~3000000 registers.

The problem is in some cases we got a timeout but not in all tables.
I tested without creating threads and it works.
Whats the problem with threads and sql server?

The LDF file is locking something?
The database cant do this purge with threads?!

Thanks