diff --git a/src/dmatrix.jl b/src/dmatrix.jl
index bd5ec79..7e1fda2 100644
--- a/src/dmatrix.jl
+++ b/src/dmatrix.jl
@@ -581,13 +581,13 @@ function _unsafe_dataiter_reset(ptr::Ptr)
 end
 
 function _dmatrix_caching_config_json(;cache_prefix::AbstractString,
-                                      nthreads::Integer,
+                                      nthreads::Union{Integer, Nothing},
                                       missing_value::Float32=NaN32,
                                      )
     d = Dict("missing"=>"__NAN_STR__",
              "cache_prefix"=>cache_prefix,
             )
-    d["nthreads"] = string(nthreads)
+    isnothing(nthreads) || (d["nthreads"] = string(nthreads))
     # this is to strip out the special Float32 values to representations it'll accept
     nanstr = if isnan(missing_value)
         "NaN"
@@ -603,7 +603,7 @@ end
 function DMatrix(itr::DataIterator;
                  missing_value::Float32=NaN32,
                  cache_prefix::AbstractString=joinpath(tempdir(),"xgb-cache"),
-                 nthreads::Integer=Threads.nthreads(),
+                 nthreads::Union{Integer, Nothing}=Threads.nthreads(),
                  kw...
                 )
     o = Ref{DMatrixHandle}()