Because coinbase is a centralized wallet that gives no private keys to their users so you aren't in total control of your bitcoin if you choose coinbase, very risky if you ask me
They give you a private key, the users can control the coins.
on Phone, go to coinbase wallet setting > Recovery Phrase > 12-word Mnemonic phrase.
on PC, Open and Save as
https://iancoleman.io/bip39/ tool locally (offline), Insert 12-word Mnemonic phrase on
BIP39 Mnemonic box > you got the private key on
Derived Addresses below.
About risky, there is only a human of carelessness.