It depends where the bottleneck is.
If you're downloading from 10 different servers and they're all serving up the data relatively slowly, it's possible you have enough bandwidth on the device to download from all 10 (or at least some number greater than one) at the same time, in which case multiple threads will be faster.
However, if a single download from one server is already enough to use up all of your bandwidth, then 10 at the same time isn't going to be any faster. And the extra overhead and contention for resources will likely make it slower.