Yes, burning sage is perfectly safe. In fact, it's often used as a cleansing and purifying ritual in many cultures.
There are a few things to keep in mind when burning sage, however. First, make sure you have a heat-safe container to burn the sage in. A ceramic bowl or shell will work nicely. Second, always use caution when handling fire. Make sure you extinguish the flame completely before leaving the area.
When burned correctly, sage produces a beautiful aroma that can help cleanse and purify your space. It's perfect for use in any room of your home or office, and can even be used outdoors.