there are always risks involved in everything but some things are riskier than others.
for example a hardware wallet is a lot more secure than a desktop wallet on an online PC and that is a lot more secure than a web wallet and so on. then we have types that are more or less at the same security level: hardware wallet, cold storage (offline-online setup by user), paper wallets. and the only difference in that case is the difficulty of setup and usage while spending from these.