in addition to the options for losing keys mentioned by Biodom, there is always an unexpected hacking option. We can recall the story that happened a few months ago with Libbitcoin, where key generation was carried out with insufficient entropy, as a result of which the keys generated in this way were especially vulnerable to hackers. This way, you can be confident in the safety of your keys and still face the loss of your bitcoins. The probability of this is almost zero, but still not zero.
This is why addresses must be created on a computer which has no internet connectivity and printed on a printer that will never have internet access. Printer spooler buffers can be hacked.
Air gapping is important again hacks. But I think it does not protect you from an insufficient RNG that might create a seed with inadequate entropy.
The problem can be mitigated with a good passphrase though.