It's not that all exchanges are risky, but they are not meant to be used as wallets so there is really no point in keeping your coins there if you are not trading. Besides it's probably more likely for an exchange to be hacked, possibly resulting resulting in your funds being stolen, than for your pc to be hacked (if you are careful enough of course). The thing is, that exchanges are honey pots for hackers, since a successful hack would probably result in millions of profit, as for a hack on your pc wouldn't result in that much money.

So I wouldn't say they are to risky, but it just doesn't make any sense to do it in my opinion, and you are increasing your chances of getting your coins stolen.