There's a reverse thread-cutter called an "Easy-Out" that may work. You drill a pilot hole in the item, then twist this thing in using a tap wrench to turn it. It cuts into the material turning counter-clockwise. But be careful: If you break the "Easy-Out" it's much harder to get out, being it's hardened steel. (Guess how I know...Hint: A motorcycle engine).
Another solution is what's called a heli-coil thread repair kit. This over-drills and taps the hole by a specified amount, then a hardened, specially shaped spring is inserted. The inside of the spring (the heli-coil) is the size of the original hole. However, as it's hardened steel, it probably won't stand up to water and will rust.
Of course, epoxy putty can be used to re-fill the hole and when it's hardened and cured, re-drill it to size--the should be as tough as the concrete, if not tougher.
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