Hair transplant is completely safe procedure if done by a board certified cosmetic surgeon. There are few risks involved in hair transplant like -
Temporary thinning of existing hair
Bleeding
Numbness
pain
Itching
Hiccups
Swelling
Infection
Cysts
Scarring
These are the risks involved in hair transplant but do not worry because they can be minimized by the afters care tips of hair transplant, which is suggested by your surgeon.