The KLR doesn't have exhaust header bolts, it has studs. The removable part should be only the nut, not the whole threaded rod.
The nuts are known to come loose occasionally. The stock nuts are acorn nuts with flanges (i.e. a closed, rounded top instead of a hole all the way through and a wide seat, kinda like a washer but part of the nut). A regular 8x1.25 will work OK. Flange nut better. Flange acorn nut even better. Make sure any acorn nut is deep enough since some are pretty shallow.
If there's no threaded stud there, then you have bigger problems. Could be a PO has removed the stud and installed bolts. Wouldn't be my choice. I'd recommend replacing the stud if it's not there.