Chenille is not the same as embroidery thread! Yes you can buy a skein of chenille but most people will never use that much. Especially if it’s a special color. Some of your more basic and productive colors maybe but really in one jig it takes very little. Why buy around $20 of material for a skein you might use 3’ of anyway over years? I’d rather have some variety for my $20 bucks. Below is a picture of typical chenille vs. embroidery thread.
embroidery thread
Fly tying chenille
as you can see from the pictures you have tons more color and texture options by using chenille. Plus typical fly tying chenille is thicker and would take less material to wrap jig with. Yes you could use embroidery thread but I personally would stick with typical jig materials for starting and then as you tie more you would have better understanding of what you could use as substitute materials because the sky is the limit with creativity. Hope that helps some.