I could be wrong, but my reading of that threat is that they wouldn’t make public the evidence, and I don’t think an appeal to CAS requires public disclosure. However, if we take the appeal further and/or mount a case against FFP itself, the evidence will have to be made public unless sealed by the court officials presiding.
The fact that they made that assertion in the first place, though, tends to make one believe they aren’t entirely confident that the evidence for their decision is sufficient and/or comprehensive within the context of statutory review. I know from a few reports about UEFA’s concerns with the Galatasaray CAS appeal there is a contingent within the organisation that don’t believe FFP would stand up to scrutiny if framed as illegal restriction of trade and investment.