In south Florida, termites are sometimes a problem on newly planted trees in areas where native pine forest has recently been removed. Other than in that very specific situation, they don't seem to bother citrus here.
In Nigeria (where I've done some citrus consulting), they have a nasty species of termite that bores tunnels up through the bark, sometimes high into the tree, doing a lot of damage, and providing easy entry for phytophthora, which then rots the bark, killing or severely damaging the tree. But I've never seen that sort of thing in the Americas.