Blogger now supports threaded commenting, hence, you might notice the "reply" option on below comments on blogspot blogs. This means it is now much easier to differentiate between whether someone is making a general comment on the thread, or responding to another comment on the thread.
How To Enable the Reply Option
2. Your Blog feed must be set to FULL
3. You must be using the "Embedded comments"
If your blog meets the conditions above, then you’re ready to start a discussion with your readers.
To check, or change your feed settings, select: “Settings > Other and then “Full” from the “Allow Blog Feed” dropdown:
To check your current form setting, select: “Settings > Posts and Comments, and select “Embedded” from the “Comment Location” dropdown:
This new threaded commenting also works with Blogger dynamic views and also on blogger mobile templates.
I hope this helps...
Source: Blogger Buzz