In what way can it be risky to use the thesaurus?

Although looking up synonyms for a Word will give you similarities in meaning, rarely does a synonym convey the meaning you're originally trying to express. The different lies in connotations, which are the unspoken, socially agreed upon meaning that you won't find in the dictionary (where you'll find the denotative, or literal, meaning); it's basically the gut feeling and impression you get from reading a Word. For example, if you searched for synonyms for "thin", you may get "scrawny" or "lean", both which have very different connotations, "scrawny" being the more negative one, and "lean" being the one that gives you a positive image. So when you're using thesaurus, be aware of what you're trying to say and look for Words that expand the vocabulary of your writing but also preserve the meaning of it.