The 50-year-old allegedly threatened to fire a grenade at Ms Bergin's car in response to an article in Australian magazine Sport and Style, which claimed he physically abused his daughter.
"I've told Australians I'll kill their ambassador in Serbia if they do not find and sanction the man that spreads lies about Jelena and me,'' he said on Monday.
"I'm a war veteran and I'll kill her (the ambassador) with a hand-grenade launcher in centre of Belgrade.''
Dokic was arrested at his home in Vrdnik, about 60km north of Belgrade, on Tuesday after police found an arsenal of weapons, including hunting rifles, Beretta pistols, two bombs and 20 bullets.
His arrest has distressed Jelena, but she insists she cannot be held responsible for her father's actions.
Damir Dokic, who has been estranged from his daughter for seven years, appeared before a court in Ruma and told reporters he never meant to hurt Bergin.