In the future Death Phantom and Chaos are both huge threats. But who is worse?

Definitely Chaos. 

Nemesis was a threat, so much so that Chibiusa, Usagi's future daughter, had to flee to the past to save the future. But even in that, there was hope. She had to learn to control the crystal and gain her transformation as a Senshi, and she was driven by her hope in Sailor Moon.

With Chaos, if you are going on the whole "Cosmos is future Sailor Moon" theory, then it is implied that Cosmos is from a timeline where everyone dies, with no chance of revival via the silver crystal. Cosmos was in despair, and there was no hope. Definitely the bigger threat out of the two.

I agree that Chaos is the bigger threat!

From one standpoint, chaos is sort of the "everything bad" in Sailor Moon, which leads to the thought that naturally, it is more powerful. It seems then like an Usagi who has beaten this should be able to beat any enemy, but! I think the reason Death Phantom is able to have an effect anyways is 1. Usagi's powers were reduced/changed form when she became NQS and/or 2. for the manga, Chaos is 'defeated' by combining the powers of everyone into the Cosmos Lambda power, so Usagi herself never beat it, everyone did. I was going to give a reason for the anime as well, but it's been a bit since I've watched the last few episodes of Stars.

So given that, it explains how despite 'defeating' Chaos, a greater enemy, other smaller enemies are still able to pose legitimate threats (though, as Malour pointed out, not quite to the same extent).

I'm gonna agree with Cardea.  Chaos is more of an omnipresent threat.  Able to generate more failed/darken stars when needed to combat the light ones. 

But, the smaller bosses (like the Death Phantom) are more effective and a bigger threat than Chaos will ever be because they can do more personal attacks. More damage mentally/physically than Chaos has.  

I always thought of Chaos/Cosmos as more elemental things- in the sense of " It's going to happen. There's no stopping it. There's only trying to lessen the effects of the damage it will do."

In the grand scheme of things- both Chaos and Cosmos did nothing while the last arc was going on. By 'nothing' I mean, they didn't actually hurt or do anything physically themselves.  Other people did their work. (For Cosmos, it was Usagi and the other senshi.  For Chaos, Galaxia, the Animates, and the other senshi on her side.)

So, if we're gonna really think of who's more of a threat- Death Phantom (others like him) are way more scary because they're immediately there in that space. 

For the 90s anime, Chaos is less of an entity or compelling overall. They sort of deprived Chaos of a voice, favoring Galaxia having an arc (which amounted to the same as the Akayashi Sisters tbh.). In that version, I still don't think Chaos is an actual threat.   Usagi didn't really 'defeat' Chaos so much as she chanced on Galaxia trying to reach out to her, which ends up expelling Chaos from her body with the combined power. 

Usagi, at the end, says that Chaos is in everyone's hearts (??? I think. It's been a minute. I think I used fansubs ).

So... yeah, still Death Phantom is more of a threat. To me, anyway.