Single photon double ionization of hydrogen chloride (HCl) and chlorine (Cl2) has been studied in an electron-electron coincidence experiment. Threshold PhotoElectrons COincidence (TPEsCO) spectra have been obtained by using a penetrating field technique, in which only electrons with nearly zero kinetic energy (<20 meV) are detected. The high sensitivity and energy resolution attainable has allowed observation of several states of HCl2+ and Cl22+, excited essentially at their respective thresholds, including vibrational energy levels for some states. Accurate energies of the dicationic (doubly charged ion) features observed in the TPEsCO spectra are presented, and the possible mechanisms of formation are discussed.