President Carter threatened yesterday to veto a bill in the Senate that would remove price controls from newly discovered natural gas.

Carter made the threat during a speech at a rally here for Democratic gubernatorial candidate Henry E. Howell, who has attacked high energy costs as a major theme in his campaign.

"I hate to veto a bill that a Democratic Congress passes, but you can depend on it, I'll protect your interests - you can count on that - when the bill comes to my desk," the President told a crowd of approximately 4,000 people.

Currently, natural gas sold in interstate commerce - outside the state where it is produced - is subject to a federal price ceiling of $1.45 per thousand cubic feet (mcf). Gas sold interstate - in the same state where produced - is exempt from federal controls, and its price is higher.

Experts say this dual market helped produce last winter's natural gas shortages in the North and the Midwest; producers simply would not sell to interstate pipelines when they could get higher prices at home.

Carter would deal with this by subjecting all gas to federal control, but at the same time would raise the federal price ceiling to $1.75 per mcf.

In the Senate last week, howere, an alternative was put forward by James B. Pearson (R-Kan.) and Lloyd M. Bentsen (D-Tex.) under which all controls on newly discovered gas would be phased out by 1982.

Carter's supporters tried to kill this alternative but lost, 52 to 46. Now they are filibustering against any natural gas vote, fearing they will lose again. But the Senate, after an inconclusive session yesterday, will take a cloture vote Monday to shut off debate, and that could pass.

Carter has said deregulation could cost consumers $10 billion a year.

Any bill passed by the Senate would have to go to conference with the House before it could be sent to Carter, however - and the House approved Carter's continued-regulation plan either this year.

Carter said in his speech here, as he has before, that his proposals provide "enough incentive and encouragement for exploration." Producers argue that only the higher prices that would result from deregulation will stimulate enough production to satisfy national demand.

The Senate did approve a Bentsen amendment yesterday, 61 to 17, providing that initial price increases caused by deregulation would be absorbed by large industrial users and that residential customers would not pay higher prices so long as old gas now flowing under contract was available. But because of a parliamentary obstacle, the amendment has not yet been made part of the Pearson-Bent-son substitute for the President's bill which is pending before the Senate.