When using a self-directed IRA, there are three potential risks to be aware of:
Less liquidity (potentially): For example, you could invest in gold or silver, in which case it could take longer to sell your assets when you need the funds.
Additional fees: When opting for a self-directed IRA, you will likely be paying higher and/or additional account management and/or trading fees. If you were to buy precious metals, there will also be additional storage fees involved.
Greater risk of IRS rule violations: Opting for a self-directed IRA does increase your risks of running into issues with the IRS. It is therefore vital to familiarise yourself with the rules pertaining to self-directed IRAs, and to consult with a financial planning expert who is familiar with your specific financial situation.