Yes, there are risks and potential penalties associated with improper backlink-building practices. Search engines have become more sophisticated in identifying manipulative tactics, such as link schemes, paid links, excessive link exchanges, or spammy directory listings. If caught engaging in such practices, your website may be penalized, resulting in a significant drop in search rankings or even removal from search engine results. It is essential to follow ethical and white hat SEO practices, focusing on quality content and natural link acquisition to avoid any penalties.