There is no simple answer to this question. Lampshades are made out of all sorts of materials: wood, linen, cotton, paper, plastic, and whatnot. Generally, none of these materials has fire-retardant properties. Because of this, the risk comes if they are sitting close to a bulb that generates a lot of heat. So, the table lamps that use an incandescent bulb and have a combustible material for the lampshade is a fire hazard. These days most table lamps use LED bulbs that do not heat up as much. This reduces the risk significantly. But there should still be some distance between the bulb and the shade to avoid it catching fire in case of a short circuit.