The main danger of roasting coffee is fire. If you're not careful, the coffee beans can catch on fire. Also, if you're using a wooden cooling rack, if the beans are dark roasted it can burn the rack.  The other danger would be smoke inhalation, especially if you're going for dark roasts. If your home coffee roaster does not have smoke suppression, be sure to work in a well-ventilated area if you're going beyond the lightest roasts.