There are many. Cryptocurrency is decentralized, meaning that no central authority controls or oversees it. There is no central bank backing it. And your holdings have considerably less protection than you'll find with more conventional assets like stocks, bonds and mutual funds. In fact, it's worth repeating: Crypto markets remain largely unregulated, prices are hypervolatile and scams and hacks are prevalent.
Some of the larger crypto exchanges provide FDIC insurance up to $250,000, similar to a bank account. But that insurance only covers US dollar deposits. Some crypto exchanges provide separate insurance for digital assets, though many do not.